There is a special crimping tool for those docking connector pins. If you do not have that special crimping tool, then you should probably solder the connections. Even when the crimping tool was used, they sometimes slipped out of the pins (see the "video" link I gave above), so I'd say, yeah, do the soldering.
I highly recommend soldering up all the connections, even the ones you're not using, in case you want to sell the sled to someone else down the road. Might as well get it out of the way while you've got everything set up to do the work.