To link particles, use the Replace tool with Rigid to paint over all shapes you want linked. Only works with Rigid objects, be careful not to touch anything you don't want linked.
Also, if you use the Replace tool with the Delete element, you can cut holes in Rigid without it falling apart.
Be careful not to hurt the Rigid shapes, because they will fall apart. Do not burn them, draw on them with any tool, let them touch Outflow, or otherwise change them in any way, because they will forget their attachment and fall apart.