Arduino Pro Micro ATMega32U4 development boards have long been prized for their user HID capabilities, allowing them to act as a keyboard and/or mouse as far as the host computer is concerned. This board works well if you’d like to experiment with a breadboard, but when you want to use it as a ‘serious’ input device for arcade buttons and joysticks, you’ll need something more reliable than semi-loose spring tension to keep your wiring in place. You’ll also want something that allows for easy wiring changes.
The solution to both of these challenges can be found in the form of screw terminals. For a convenient way to use this type of connector with the Pro Micro, consider the Pro Micro Breakout Arcade Controller PCB. The PCB breaks out and labels pins used with this arcade encoder software project, making it easy to create your own custom arcade input setup with it. Additional pins can be broken out on a pin header, allowing them to be used for other purposes as needed.
Notably, the listing is for the PCB only, so you’ll need to supply screw terminals, pins, and the Pro Micro itself. For another way to use the Pro Micro board as an interface device, I’d invite you to also check out the JC Pro Macro. It features a rotary encoder and keyswitches for user input, and additional IO breakouts that can be used for other purposes.