Open the master project.
Click on the first task
CTRL click on the second task
Click on the Link button on the toolbar
Or you can do the drag-one-task's-Gantt-bar-to-the-other-task's-Gantt-bar.
If you need to change the type of link (default is FS) or the lag then double-click on the link in the Gantt chart and make whatever changes you need. Or you can edit the Predecessor/Successor link information.
Save the individual projects and you're done.
As a note to others reading this message: once you create the Master project, you cannot change the names of the inserted project files, you cannot change the location of the inserted files and if the files reside in several directories then you cannot change the names of any of the folders in the paths to those files. The links are stored as absolute paths, not as relative paths. (This is true for P2003, I haven't checked with P2007.)
(I believe you've asked questions about a project server environment in the past. I don't work in a Server environment so you'll have to determine if this approach causes problems in Prj Server.)