In my experience, there's no quick approach to learning weight connection. It's such a dynamic and sensitive thing that it's really impossible to develop with just one exercise. But here are some helpful things to keep in mind when teaching or learning connection:

Make sure that you have only as much tension in your arms as is necessary to maintain their position, and no more. Push and pull connections should be a product of your distribution of body weight, not pulling or tugging or the arms and hands.

Before taking that first step, try to feel that you settle towards each other; that your sternums actually "compress" together, increasing the tension in the dance posistion. Again, this should not require muscular work of the arms... only projection of the body weight forward.

If one of you is having troube with either shifting the body forward, or doing so without the use of unneccessary arm tension, try this: place your hand flat against his (or her) chest and let them shift forward into it until you feel his (or her) weight. Try having them do a couple of basic steps in this position, maintaining the forward weight.

This is all very difficult to describe using plain text. The ideal stuation is having a teacher work with you personally, because the best way to learn connection is by feeling. So I would suggest taking individual private lessons (not as a couple, but each separately) to learn at least the basic concept.

I hope this helps a little bit, anyway.

Sincerely,
Jonathan Atkinson www.ballroomdancers.com