The first thing you'll want to do is bend the diodes. This is very easy to do with a small pair of pliers. The ones used in the picture are these.
Next, solder in all the diodes. Make sure the black band is on the side of the square soldering pad. After soldering all the diodes, go over to the other side and cut off the excess legs.
Now, put the headers in long-side facing downwards. Place the KB2040 on top with the microcontroller side facing outwards and solder it to the headers.
After that, flip the board over and solder the headers to the PCB. You can cut off the excess leg length if you'd like to, but doing so isn't necessary.