Connecting together cylinders with valves and air supply requires the use of specialized connectors and air supply hoses. It isn't to complicated, but it can be frustrating when you are putting it all together if you didn't purchase just the right connectors.
In the old days, barbed connectors were used to connect hoses to the valves and cylinders. However, a much easier connector is the new standard, quick-connect connectors allow you to slip the hose right into the connection point within almost no effort and to disconnect the hose by simply depressing the quick-connect collar and pulling out the hose.
The connectors will screw into cylinders and into valves. They are available in various sizes, so make sure you select ones that match your devices. To ensure that no air pressure is lost, it is best to wrap the threads in a couple turns of teflon tape. Teflon tape pretty much guarantees an air tight connection. If you waste air, the compressor will run more, making more distracting noise. Also, if you are operating a lot of equipment, wasted air can really add up and result in underpowered props.
The three most common connectors are simple straight connectors, elbows and flow regulators. I prefer elbows because I don't like the air hose to stick out 90 degrees to the cylinders and valves, most of the time. Fittings cost about $1.50 to $2.50, so stock up on a few extra, it is really frustrating to run short at the last minute.
Connecting your entire rig to a compressor requires a transition from compressor hoses to the connectors used in your air distribution system. Generally, you should be able to find a reducing adapter fitting in the plumbing department to make the step down to the smaller size. Be sure to have a sample of all your fittings with you in order to make sure everything fits as expected while you are still at the store.
When connecting everything together, it is important to use teflon tape on the threaded joints. If you don't seal the connections, you will have a slow steady air loss. While you may be able to spare some lost air, it will cause your compressor to cycle on more frequently. A few leaks across several connections can quickly deplete air supply, so save yourself the trouble and make all threaded connections tight by wrapping them with teflon tape.