Connecting the devices
First another word about terminology. As explained, "component" is a word which KiCad uses in a very restricted sense. And KiCad is moving towards using "schematic symbol" for what they mean by "component".
I am going to use the word "device" when speaking of an electrical/ electronic "thing" in general terms. If I say "device", I might be talking about a resistor I am holding in my hand, the resistor's representation in a schematic, or the resistor's "place" for going into the printed circuits board. (The latter two, in KiCad terms, being resistor as "schematic symbol", and resistor as "footprint", or "module".)
We've got the schematic symbols well placed. The resistor and the LED are connected. Now select the "Place Wire" button on the right hand toolbar (Green diagonal line in 4.0.4, the illustration is from an earlier KiCad)….
(Be careful to get the correct one… you want "Place Wire", the upper, green, of the two diagonal lines, not "Place a Bus", blue, the lower button.)
After selecting "Place Wire", go to the little circle at the bottom end of the LED, and click. Move the mouse… a wire should drag out… to the little circle on the lower "arm" of the connector. Click. Hurrah! (If you move the mouse, you (should!) see that the "thread" was "cut off" when you'd made your connection.
(There's more to say on placing wires later! If you put down a "bad" line, press escape to go back to the "pointer" tool, point to the line, press the "delete" key. Or double-click to "put the end of the wire down". Play with it! You'll get it! It DOES work… when you get the hang of it!)
Also, of course, draw the line from the left hand end of the switch down to the top of CONN_02x01.
There's more to say on the whole "drawing a schematic" later… but I hope that's got you started!
Don't forget to save your work from time to time. (Ctrl-S)
One thing I will "digress" into here:
Once you have started placing wires, it is "too late" (until you have the tool I'm about to give you!) to move things any more. If you do, the wires get left behind. However, if you "pick it up" with "G", for "draG", instead of with "M" for move, then when you change its position, its wires come with it. You can also drag wire segments.
Moving and dragging can lead to tears. In particular, resist, for now, the temptation of setting the grid to anything less than 25 mils. (Don't know about changing the grid setting? Good! (For now.))
(What does "map schematic symbol to footprint" mean? There's an encyclopedia entry about that for you.)