Apply a small dab of glue to your left index finger. Strong adhesives like superglue will dry too quickly and be difficult to remove afterward, so use a lighter adhesive such as a glue stick.
Approach your spectator and take out a pack of cigarettes. Remove two cigarettes and explain that you will pass one cigarette through the other and thereby link them together.
Grasp the cigarettes at the filter and tip, between the index finger and thumb of each hand. Ensure that you affix the filter of the left cigarette to the glue previously applied to the index finger.
Quickly bring the two cigarettes together in one smooth, fluid motion. Also, ensure that you make the movement as soon as you have explained what you are about to do. Do not allow the spectator too much time to examine your hands.
At the same time you make the movement, slightly relax your left thumb. This will create a gap between the tip of the left cigarette and your thumb. Pass the cigarette in your right hand under the small gap between your left thumb and the tip of the left cigarette. The left cigarette will remain in place, affixed by the glue on your left index finger. Close the gap as soon as the cigarette in your right hand has passed through. You can unlink the cigarettes in the same way.