Drag-and-drop from the desired Out port and into the desired In port:
Every port can have an unlimited number of connections, however for simplicity purposes and best practices it is good to keep the number of connections to the minimum necessary. During execution time, every connected state will be executed in parallel.
So, in the following example:
State 1 has 2 connections from its "Success Out Port"; "State 2" and "State4".
This means that if during execution time, "state_1" executed successfully, then "State 2" AND "State4" will be executed in parallel.
In order to remove a connection, bring your mouse pointer on the connection, and just click on the secondary (= usually the right) mouse button.