Hi,

The Spring-sided ones go on the motor wires. The open ended ones (That the spring sided ones go into) attach to the wires of the ESC. That's standard convention for pretty much everything. The spring sided ones are the "Male" connectors.

Each connector has a long side, and a short side. The short side is just deep enough to add some solder to, and solder a wire into.

These will get VERY hot when you solder then, so hold them in something when you solder them. If you don't have electronics clamps, then a wooden peg is OK.
I've even used aligator clips before.

Put the heatshrink tube further down the wire BEFORE you solder the wire in..

The FEMALE connectors should have the heatshrink shrunken so that they are completely covered... The heatshrink should be flush with the connector when you finish - not poking out or leaving some area exposed. If anything, a touch (eg, 0.2mm) longer but not shorter. Not so much that it shrinks smaller than the ID of the female socket.

The Male connectors should have heatshrink applied so that it butts up against the female connectors heatshrink when the plugs are in.

That's about it... Hope the explanation is OK

David