Well, only link between texts if they support your thesis. That's why it is important to find texts that can be related to each other i.e. by comparison and contrast, producing the same ideas, etc.
An ideal essay structure for 3 texts would be:
Paragraph 1: Thesis + naming the texts
Paragraph 2: Introducing text 1 and explaining
Paragraph 3: Linking text 1 to text 2
Paragraph 4: Introducing text 2 and explaining
Paragraph 5: Linking text 2 to text 3
Paragraph 6: Introducing text 3 and explaining
Paragraph 7 (optional): Linking text 3 to text 1
Paragraph 8: Conclusion, reintroducing thesis and the texts
As you can see, the subsequent linking between each explanation of your three texts creates a smooth, flowing essay - which is easier for the marker to read and understand what you are trying to argue. This essay structure has always worked for me but, by all means, it is NOT the only structure. You can chop and change to see which suits your style.
Only link if it relates to your thesis i.e. if it supports the point you are trying to make.
General rule of thumb: it's not the number of links that matter but rather the significance of the link. So, if you have a substantial link which supports your thesis completely and is well established and explained, it is better than having two links which are mediocre and do not support your essay . I would normally aim for two links if possible.
You will gain marks by linking and explaining how the link effectively supports your essay. You will lose mark if you just provide the link and not explain it; irrelevant.