Without header pins, all you have to do is turn on your soldering iron and add them. They aren't required if you are creative either way. I have a few Arduino and sensor boards that I've used various methods to test by adding either jumpers held at an angle or spring loaded clips to attach. Of course, the easiest method is to just solder the header on and use a combination of bread board, jumper wires, and whatever components are required (resistors, sensors, etc). FWIW, most of the basic projects that have resistors are usually used for pull-up/down and are not required for the RPi so long as you set the internal pull-up/down resistor appropriately. I'd actually counter that a breadboard is the way to make a project LESS complicated rather than more-so.
And as for the DHT sensors, if you don't have headers, how are you intending on hooking those to your Zero? It is possible that they could line up with the GPIO header such that power, ground, TX, RX are all in a row, but the reality is that they probably won't. When I was testing with mine, I used a breadboard and some jumpers to get everything hooked up. Granted that was with an Arduino, so it should be possible to do with 4 direct jumpers to GPIO on RPi. Keep in mind that the DHT sensors have tiny/flimsy connectors and don't like working with either jumpers or a breadboard.
