the easiest way to connect an Arduino to External power source is using a 9V battery, with these nice Battery 9V Snap Clip with Barrel Plug this process is very simple, this battery snap is designed to snap onto the leads on the terminal end of any standard 9V battery.

 These battery straps have two leads, a red "positive" wire, and a black "negative" wire. 
With this approach, you have an instant hook up solution for short term use To turn Arduino Board or even an LED lights on, you can switch the device off and save a bit of battery, just unsnap the battery snaps.