I use
@Newdude's method. Works best if the pump is already running, so things get sucked tight together right away. If you try to connect things, then run over to start the pump, there is a greater chance of sucking air. That may mean loosing prime in the pump. Some systems self prime easily, some may need you to remove the pump lid to pre fill the pump with water. A small to big pain either way, it is best to avoid it if you can.
You can play with the intake valves so that most of the suction is via the line with the vacuum - helps to get more stuff sucked up, faster.
It will be fine to normally have it going to the filter. Pay some attention to the filter pressure, and if it starts to climb, you may have to take a break to backwash it.
In extreme cases, you can set the plunger valve on the filter to go to waste, rather than filter. Then the dirt will be discharged out wherever your backwash water goes. But it will waste a lot of water quickly, so be prepared to have to add lots of water after. I only did it in cases where the algae was really, really bad...
Normally, move the vacuum slowly - so it doesn't kick up much in the way of clouds. If your vac has one of those clear heads, it can help as you can actually see the "stuff" getting sucked up.
Yes, in your case it sounds like you are using the standard vacuum head with a long vacuum hose right? So one end of the hose goes into the skimmer hole and the other connects to the vacuum head. They key tip BEFORE connecting the end into the skimmer is to push all the air out of the hose so that's it's mostly full of water first. To do that, I lay the hose across the surface of the water and take the vacuum head end to a return jet where the water comes out (your pump is on). Hold the end of the hose against that return jet to "prime" it full of water. Once the hose is full of water, connect it to the vacuum head and let that sit under the water. Then go to the skimmer and put that end of the hose into the skimmer opening.
