So if it happens to be the owner of the very first esp8266 modules, the Esp-01’s, you already know that it is not that simple to physically connect them to an arduino board due to pinout. You will need either to bend the pins to fit it in a breadboard or to make a small adapter yourself. A nice convenient solution might be the ESP-01 WiFi Module Shield from freetronics if you are willing to spend almost 10$. Have a look below for features and a link.

Features

• 3.3V regulator dedicated to the module to ensure sufficient current capacity
• Logic level shifters on TX/RX lines: compatible with both 3.3V and 5V Arduino models
• Selectable TX/RX pins: use D0/D1 for hardware serial, or D2 – D7 for software serial
• CH_PD pin on ESP-01 module pre-biased for correct operation mode
• Extra ESP-01 pins broken out for your own connections
• Prototyping area with 5V and GND rails
• All Arduino headers broken out for easy connections
• Stacking R3-style Arduino headers including the ICSP header

Link: http://www.freetronics.com.au/products/esp-01-wifi-module-shield#.V0LJlfkrKJA