But whenever he connects them together, there's a brief flash of energy - just like whenever he uses a Limit Break.
Sure they connect through mechanical means, but I'm guessing that some materia-like system locks the blades together, giving them a more solid connection - this would explain why they never rattle or come loose, even when he's whacking them against solid targets with great force. It'd also explain how he can separate them seemingly at will, without much force at all - as he does during the final fight, when he's perched on the Shinra HQ wall, and during the new Omnislash.