Using the Desktop interface, it is as simple as clicking 'Connect to a wallet' on the top right corner of the Sushi UI. A list with many different wallet options will appear.
After connecting your wallet, it's address will be displayed in the UI. There is also a button which allows you to change the network ('the chain') that you are using.
In the case of connecting a wallet via a mobile device. You will either need to scan a provided QR code to connect or can do so through the internal dApp browser on some wallets such as WalletConnect & Coinbase Wallet.
Note: Having two Web3 wallet extensions turned on simultaneously (such as MetaMask & Binance Smart Chain Wallet) may cause connection issues - be sure to only use one at a time.
Below are some video guides for connecting specific wallets