Hi
You can use two connections (provided they are the only ones you need), but personally, I prefer dragging on new server objects and setting them to the existing connections as it's easier to see the workflows etc...
I suggest you do it that way, set up all the transform data tasks as you need to, then set the workflows between the destination server of the first task and the source server for the next task and so on.
Sorry about the books online comment. I meant the SQL Server help that comes with SQL Server. If you're in enterprise manager, or query analyzer or whatever, just hit the F1 key to open it up. Or navigate to it by going to Start->All Programs->Microsoft SQL Server->Books Online.
Before I replied, I checked my idea by opening up Books Online, filtering the active subset to be Data Transformation Services (top left drop down box - optional step), choosing the index tab and typing in Connections. Underneath connections-SQL Server is an entry called DTS. Double click that and select DTS Connections from the dialog that appears. I think this would be a good place for you to start.
I find it really useful. And remember, F1 is your friend.
P.S. Another tip, is in Query Analyzer, highlight a reserved word and click on Shift+F1 to open help on that word/function. Standard help stuff I think, but thought I'd add it in case you didn't know.