In presentation 1, draw an object on the slide from the shape tool, select it,
Inspector > Hyperlinks click enable as Hyperlink, Link to: Keynote file and navigate to presentation 2
In presentation 2, repeat the process to link to presentation 3
Set the three presentations Inspector > Document: Automatically play on opening
What is the purpose of the symbol and which slide(s) do you put it on.
Sorry I dont understand, please explain what you mean by symbol, there was no mention of this in your original post.
Do you just link the last slide of a presentation?
Yes that would be the appropriate slide to link from.
That is all that, play the presentation back and when you get to the slide with the hyperlink set clich it to open the 2nd presentation.