Usually, they plug into the bottom right hand side of the motherboard. You'll have to check your motherboard manual for where precisely and which pins to put them in, otherwise you'll have to google the z170 mobo manual and find a PDF for the layout. That's for the last five things you listed.
The HD audio and USB plugs go into the bottom of the motherboard. The plugs are laid out so that you cant accidentally plug something into the wrong slot, so just look at the male end and match it with the female end on the bottom of the mobo.