Go to the Walls, or Building tool set.
Choose the wall join tool.
Go to the tool bar.
Click on the third mode, X-Join mode.
Click on the first wall.
Click on the second wall.
Walls are joined.
This shows the wall join with Vectorworks 2010, where Vectorworks is told which part of the wall is the structural core, so the cores automatically join.
If you are using Vectorworks 2009, or earlier, you will have to use the Component Join tool to join the wall components together.