At present you can only connect trailers one at a time during the movement phase, though improvements are planned.
During the move phase, you have to back up a tractor to the trailer you want to tow (they follow stacking limits, so medium/small tractors can tow one medium/small trailer in the hex and more stringing out behind that).
The Tow button will illuminate when you have a valid tow option. Tow does have to be the tractor's first and only action of the round, so it will take several rounds to set up a long road train and you can't tow and drive off like you can when loading infantry.