It seems like most students are familiar with linking words, but they rarely use them in their writing. I think that one way to teach it to them would be to make them realize how many linking words they already know, and make sure that they learn some new ones from their classmates. This could be done through a boggle game!
This is how it?s done:
Ask your students to work in groups of 3s or 4s. Give them only 3 minutes to write down as many linking words as they can. Once they are done, ask the first group to tell you what they wrote and write that on the board. After that, ask the second group to tell you what they wrote and if the words that they wrote are the same as the ones on the board, scratch them off, and if they have new ones, add them. Do the same for the other groups. At the end ask them to count how many ?unscratched? words from the board they have on their paper. The group that has the most ?unscratched? words wins! You could have some sort of prize for them at the end, just to get them excited.
This serves as a good competitive start, but it definitely needs some follow up exercises.