Hey, that's great to hear! I'd love to hear how it goes.
Regarding connections, the true answer to your question is "whatever works best for your game," but if you want the technical answer:
If you look through the Moves, you'll see that a lot of them tell you to mark a connection, so as long as players are interacting with the setting by doin' stuff, they'll probably be collecting a fair amount even aside from Wants. For an example, let's say I'm having trouble with ogres invading my personal space and I want to build up a hammer named Trǫllnir that's great at getting giants out of my face. If I roll a 7-9 or a 10+, I've got the option to mark a connection related to my hammer. I might mark down Connection: Trǫllnir, or I might mark down a connection to some joke I made when I succeeded at the roll (Me: "ha ha, can't touch this, am i right?" My friend: "Is this another 90s rap reference I don't understand?"), or just Connection: Gonna Fuck Up Some Ogres.
Then, later, when I want to spend that connection, I can just reference it, like an in-joke or dramatic pay-off. I basically fire Chekov's Meme Gun, though there's nothing in the rules stopping me from deploying the reference at an inappropriate time in order to make a statement about my character or just get some laughs from the table.
Or I can trade it in for experiences, since not every joke or strategic decision is necessarily going to merit a callback, and my character's busy growing and getting stronger. Or I can give it to another player to do with what they wish. (Like how Dave never actually did anything with that "bleating like a goat for ironic purposes" idea, but Dirk later did.)
Hope that helps!