It depends on what you want to do. There isn't a specific way that the two are intended to work together. Probably one of the more common things to do is to use the smaller controller to control a specific device or devices. If you connect the LT MIDI output to the GT MIDI input, then turn on MIDI Merge on the GT, anything the LT sends is forwarded through the GT. It won't affect anything on the GT, it will just pass it along to your devices. So, the controllers kind of work in parallel.
There are other ways to do it, but that's the easiest to set up.