Linking two characters together?

The only way I know how to achieve that would be to create a puppet with both characters in it. You might also want to take a look at "magnets" to see if it can be useful, but I suspect the best approach is to put the artwork of both characters as one puppet and not make things independent for the arms. Personally I would take the two separate puppets, use them most of the time, then copy the artwork into a single joint puppet for the scene when holding hands. You can make them both talk etc - just have more draggers, face behaviors etc and put on the appropriate layer (not the root of the puppet).

If you can describe the scene in more detail can provide more advice if needed. But I would give up on the idea of two separate puppets interacting. (E.g. you could use a dragger to try and keep the hands lining up - but I never got it looking natural.)