Well, I learned how to solder solder-wells on my last ship. First, put a drop of liquid flux in the well, flux the soldering iron. Get a good, clean, shiny tip on the soldering iron. Then get some solder, and melt it to the soldering iron tip so that it's almost dripping. From there, you just set the tip in the well, and the liquid solder will fill the well. You want it full, but not over-filling, nor a big bubble of solder on the well. Then tin the leads of the wires going in to the wells. From there, it's just a matter of applying heat for a second or two to melt the solder in the well, sticking the wire in, and then removing the heat to allow the solder to set with the wire in.
The plastic of the DE9 plugs was great. I only had one case of something burning when I was soldering, and that was when I was doing the first practice run, and I was accidentally cooking the wire above where I was soldering. Other than that, I didn't have a single issue with heat being distributed where it wasn't wanted.
I didn't use a soldering sink (nor do I have one), but I did have the other side of the DE9 connector plugged in. I solder the male side, and I had the male plugged into the female connector, which was mounted in the plastic shell, but this was just for stability. I still haven't finished the workbench in the garage, so I don't really have a good place to solder yet, so I didn't have a clamp or anything. Would have been very useful.
I believe it was 1/8" heatshrink to go over each of the soldering joints. Probably could have gone a bit smaller, as some heat shrink isn't perfectly fitted, but it works well enough, and definitely does the intended job of sealing the solder joints.
When I do the next one, I will take more pictures during the process of...
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