When connecting the mains, do you connect to the Amp or the sub?

It depends on what kind of receiver or amp you've got. If you've got one with a dedicated sub out, you connect the mains to the amp. If not, and you really want to, you can (usually) connect the mains to the sub. I found this to be an unsatisfying solution when I had an old 2 channel reciever; I connected the sub to a tape out line level source on the receiver and the mains to the main speaker outs on the receiver. Your situation may be different. Yes, yes, it's a pain to have to adjust the sub volume and the amp volume, but I found the sound to be better.