The first couple were a hassle, but the next several went easier. Keys for me:
Strip and tin the wire before it has a chance to fray out
If it frays, a few gentle twists to bunch it back up, then tin it
Poke through holes on board
Make gentle bend back to solder holes
Carefully flip board and solder
Trim excess ends.
Clean up flux - especially around data lines
The RJ45 on board would be a bit easier, though harder to seal and more costly too. I'm actually running my cat5 cable right through the end cap and soldering directly to the board - no pigtail. This eliminates the one RJ45 joint and any associated water troubles, but does mean each string has a somewhat specific location - IE the longest cat5's pigtails go at the ends of the display and the shorter ones to the middle.