Linking from DVD to Cinema happens automatically: it finds a link from the DVD title. In fact you can add extra titles to a DVD ("Add Missing Info"). This will automatically link any number of movies from Cinema World to your DVD (useful for box sets etc).
Linking to TV World is a different process. By default it will only search on Cinema World. To link to TV World, click "Add Missing Info" and state the title of the TV series. The link will happen automatically.
Alright that makes sense, does the film need an existing page first to link or can I preemptively link to a film to link when it gets added later?
Preemptive links are fine. You can add a title to the DVD, and it will link automatically with Cinema World when a movie of the same title is added there.