Solder pins straight away or test drive it first? Also what would you actually use a Nano 33 IoT for?

Solder the headers first thing, honestly. I sat on my Nano 33 IoT for weeks with loose strips because I wanted to keep my options open, and in the end I just breadboarded it after soldering anyway. The headers don't stop you from doing anything. What they do stop is the annoyance of trying to hold jumper wires in the castellated holes while also pressing reset for a sketch upload. Worst case you desolder them later, which is a much easier problem than flaky connections during your first tests. As for the wireless side, my take is that it depends entirely on whether the project acutally needs to be somewhere you can't run a cable. I used mine for a soil moisture rig at the far end of the garden, and the WiFi was the whole point there. But I've also done sensor projects on a plain Uno that were just as satisfying and never needed a radio at all. The weather station idea is a classic for a reason, it gives you a real reason to learn the WiFi library and you get actual data on your phone. If it feels too standard, tweak it so the data goes somewhere useful to you, like logging to a spreadsheet or triggering somthing in the house. That's what made mine feel like mine rather than a tutorial clone.

I went the other way on the soldering question and I'd do it again. My board lived on my desk for about two months with the strips still in the packet, and I just used it breadboard-style with the pins loosely inserted and a bit of tape to keep contact. Good enough for blinking LEDs and reading a DHT22. Once I actually committed to a project, then I heated up the iron, and by that point I knew exactly which side I wanted the headers on. The one thing I'd say is don't test-solder and desolder repeatedly, those pads will only take so much abuse. On the wireless side, mine earned its keep, but not for logging data. I stuck one on the garage door with a reed switch so my phone pings me if it's open past ten at night. That kind of alert-and-notify project is where the built-in radio shines, because there's nothing else to buy or configure. I'd skip the weather station as a first build, mostly because it gives you no feedback loop. You set it up, data trickles somewhere, and you never touch it again. Something that reacts to your house and pushes a notification back at you teaches you the same WiFi basics but keeps you intrested.

With the first reply on this one, headers went on mine the day it arrived and never regretted it. One thing I'd add for the wireless side: run the firmware update tool in the IDE for the radio module before you write any code. Mine shipped with older firmware and a couple of the example sketches behaved oddly until I updated it. Took ten minutes and saved me a night of wondering what I'd done wrong. And yes, the weather station is a fine first project, no shame in it. Getting real numbers on your phone never gets old.

One angle on the weather station question that nobody's touched yet is where it will actually live, because that decides how you power it. I hung a similar setup in the shed and naively assumed a small battery would carry it, but the board sips noticeably more than a plain Uno while the radio is awake, so I ended up rethinking the whole placement. If yours will sit near a socket it's a non-issue, but if you're picturing it on a fence post or the roof of the coop, work out the power situation before you solder anything, since that decision might also settle your header question.

Flux is what got me over the soldering fear on my own board. I was sweating the same thing, one shot and no spare, but a flux pen from the local electronics shop turned those header joints into a ten minute job with zero mess. Dab, tin the pin, done. No cold joints, no rework. If you do commit to soldering, that little bottle is the difference between white knuckles and shrugging it off. On the project side, mine ended up less a weather station and more an indoor temp and humidity monitor that pings me when the laundry room gets damp. Less glamorous, but the alerts actually get used.