They are jumpers; I buy them on Amazon, but most electronic hobbyist sites should carry them too (Adafruit/Sparkfun). You want to get female to female. I use a little shrink wrap to bind the ends, but you could use electrical tape or something similar.
It can, but I don’t recommend that for large setups like yours. Connect each piece to its neighbor. (See below.)
There is no “in” or “out” designation with i2c. Most modules have two rows of pins. You can use the columns interchangeably (or bridge them using a ribbon cable with 2x3 connectors).
I personally break off three jumper wires and bind the ends. I also mark the orientation to identify my ground wire. Then, I just jump from module to module until they are all connected to each other (again, making sure the ground wire is in the proper place for the module in question).
Lots more tips here: A user's guide to i2c