If I have 20 domains, should I link them all together?

If they are brand related it’s not a bad idea to own multiple top-level domains, but if you are meaning to manipulate Google, duh, they hate that. Stop it. Keywords in domain names are being devalued because of that strategy. You could try to be clever and put your main service in your company name, that’s a really good idea. No need to try and get a bunch of domains that have keywords in them, stop chasing the algorithm, following trends, and really focus on what is important: design, copy, & value proposition/call-to-action.