I'm trying to connect two models in the world together, how do I do this

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You can try adding a joint (fixed, or other types) to the sdf file, connecting a link from each model by giving the link's name (model1::link and model2::linkfor example). See more about joints http://sdformat.org/spec?ver=1.7&elem.... I'm not sure about any limitation. Maybe the child link of this joint must be the canonical link of the model.

If you want to do this on runtime, you may need to create a joint through a world/model plugin.