Here's an article with photos which describes Retro Grouch's method: http://sheldonbrown.com/derailer-adjustment.html#chain
I always join the chain with a master links; I do not like the Shimano "special joining pin" concept.

I'd also suggest carrying an extra master link and the links remaining after shortening your chain for doing repairs. If you should need to lengthen the chain in the future (like if you install a bigger chain ring) you can use a second master link with no problem.