Instructions
Build a castle. Building a castle requires you have Lord Kefling and the Castle Workshop.
Click on the Castle Workshop to open the building pieces menu.
Scroll down the building pieces menu until you see the castle walls. Select the castle walls by pressing "A." This action places a castle wall in your avatar's hands and returns to the world viewer.
Walk around until you find a spot where you wish to place a castle wall. Press "A" again to build the wall.
Return to the Castle Workshop. Repeat the previous steps to select a wall. Walk next to the wall you just made. Build a new castle wall right next to it. This automatically connects the two walls. The same is true if you were to build a wall next to another building.