There are multiple opportunities to link a Hired Position with a job in your ATS.
The best time is when you're creating a Position. If your ATS is already integrated, you will see a link that says "I want to link this to a [ATS] job" under the title of your Position. Just click this link, start typing, and select the correct job from the dropdown.
If you have already created a Position and want to link it, you can do so from the homepage. Hover over the Position title and click the pencil icon. This will open the edit modal where you can click the "I want to link this to a [ATS] job" link.
After you make an interview request, you also have an option to link your job by clicking "edit" in the top right.