Can someone explain how to do it and what the benefits are? Do they both run on the same transducer?

It is done via an Ethernet cable with Humminbird or Lowrance products that have that connection feature.

Check the specs of the units you are considering if you  want that function.

 

Shared data is temperature, GPS data, sonar, and other sensors. Lowance just added map sharing for their current models.

I linked my two units mostly for marking waypoints, That is the only advantage I see with linking.