Use the edges of the polygon pieces: with one piece in each hand, push each piece against the edge of the other one and slide them along the edges to make the connection.
Use the central openings to hold the pieces (this is harder for triangles).
Push the connecting pieces all the way in.
You can bend the pieces, they are very sturdy and will not break.
Check all connections during construction and after you're done. Pinch a pair of joined tabs to ensure a tight connection.
To disconnect a piece, try to rotate it to free all its tabs at once.
Two simpler objects can be joined together into a larger one by removing a piece with the same shape from each of them and then connecting the freed tabs. This works only if the notches of the two objects are pointing in the same direction; if not, one of them will have to be rebuilt. One way to insure that objects can be joined is to always build them with the same side plastic (smooth or textured) towards the "outside" of the model.