Some will say solder and don't worry about it, some will say don't solder. I think it depends on the connector you're using. A decent connector like WBT, Canare, or GLS you shouldn't need to solder. Something cheep like the junk AR packages with their bulk wire in Best Buy, solder.
I noticed that you posted this over on the CA where Duster responded with a don't solder. Well duster swears that he can hear the difference between connectors too.