If you have finished designing the coaster and your ready to connect the final piece, just check every view (top, left, front) to make sure the final vertices is lined up. The "snap" button in the toolbar is very helpful. Once the final vertices is pretty close choose, Edit (I believe), connect. It will automatically make the final connection for you. If you ever want to test the coaster in the simulator before you've actually finished the design, at any point you can connect or disconnect. The last vertices, no matter where it is in relation to the other begining vertices, will connect. It's just a matter of getting it lined up reasonably close the begining.
Hope that helps. Otherwise there are some pretty helpful tips in the manual, and some to be found on the net.