I bought the game on release, although I have yet to beat it, I've gotten about halfway and really just am having a kickin' time in the simulator right now.
Linking seems strange and almost useless at first. One of the main reasons is because of the AP cost of every move is spent by not only the one initiating the link, but by the others involved in the combat. This makes sure your AP gets tapped out right away, if you don't use it well enough.
Make sure you familiarize yourself with the character equip options and spend you EP on stuff you need right away, it makes your characters that much more capable. The one thing that I always buy first is AP, it's incredibly useful to allow your characters enough points to attack, link battle and still have enough to counter attack.
What I did with the linking was figured out who had the link points. If I remember correctly it was Eilsa and Latona. Now, the only one who needs to spend the link points is the one initiating the link. So, because those first two had the points I paired them with people who didn't, either Zead or Hermes.
Check your character setup to make sure you know what the linked units are set to do when attacking, or defending (by default it's using the left handed weapon.... they like putting everyhing useful in the left hand, you'll notice). And since ONLY hand weapons (shotguns, machine guns, melee weapons) can actually be used it makes putting people like Zead (who starts off with missles and a melee weapon. Also there's the fact that I always leave him way in the back of battle) pretty much useless.
What I did do was use Hermes in link battles. Set him as a 2pt link (using two instead of one allows him to use his battle skills in a linked battle) in both Eilsa's and Latona's attack linking (I found that a defense link almost never works out until you get your characters much more AP, otherwise you spend it all before you can counterattack). I did this because Hermes is my healer, with that insanely useful backpack of his, and by linking him with both Latona and Eilsa I can ensure that I get both an attack and a heal out of Hermes every turn.
To do that, just make sure that Hermes is close enough to an enemy to attack it, then use his round to heal. Then move either Latona, or Eilsa, to attack an enemy in range of Hermes, and, long as he has the AP for it, the little nancy-boy healer will unholster his machine gun and let rip along side you.
You still use the AP, but you didn't have to waste a turn. Bam!