Image courtesy of SparkFun Electronics

Use a 9V battery clip to easily connect your 9V battery to your Arduino. Use one with leads to connect your battery directly to a breadboard or the VIN pin on the Arduino.  You can also buy a clip with a barrel jack for plugging directly into the Arduino’s barrel jack (shown above)

Buy a 9V battery clip with a barrel jack connector from Amazon, Adafruit or SparkFun.
Buy a 9V battery clip with leads  from Newark.