It depends on what you mean by “connect”. For example, if you just want to draw a circle when the routes of two links merge when connecting to the same port, look at http://www.nwoods.com/forum/forum_posts.asp?TID=2042.
But it also would be quite natural to actually have a GoPort on the link (a GoLabeledLink) to which another link could connect. In this scheme you would implement a subclass of GoPort that implemented the IGoLinkLabel interface provided in the Processor sample application, and your links would need to override LayoutChildren as shown in the documentation for IGoLinkLabel or in the FlowLink example class.
Actually, given your needs, you could simplify it by assuming the Offset is always (0, 0). You don't need any overrides of Paint or ExpandPaintBounds either, since you don't need to draw a line between the link and the GoPort/LinkLabel. Hmmm, so you don't need the LinkLabel.ConnectionColor property either.