Are you using the in game map designer or the galaxy forge? With the galaxy forge you make wormhole connections by making a normal phase lane between the wormholes, selecting it then hit the drop down box to change it to wormhole.
For the map designer, I don't use it very often but this is what I found in the stickied comprehensive guide to it.
Also note that wormholes always come in pairs, (having 2 as seen to the right, actually creates 4 wormholes) and while you can't specifically tell which wormholes to link where, by placing wormholes in two different star systems, you increase the chance they will link across the star systems.
Basically the map designer is a good way to make an essentially customized random map. If you want to do something precise like specify exactly where wormhole connections go, use the galaxy forge.