The question gets asked every week, so search those threads for the pro's and con's. The above post gives one reason, another is what you plan to do with python? You would need to do very little keying, but library support for your choice of python is one major factor. Another may be your choice of tutorial or book, as it may use one or t'other.
Various male/female 40- and 26-way GPIO header for sale here ( IDEAL FOR YOUR PiZero ):