When doing a Migration with Migration Assistant when do I connect cables between the old and the new MacBook?

The following support article should answer your question: Move your content to a new Mac - Apple Support

Please look at the images in the article I provided a bit more carefully. On the one, under "On your new Mac," it informs you to be sure that you have made the connection to the Mac you are transferring before clicking on the "Continue" button. Regardless, the process will warn you if a connection is not found before the transfer can begin.