Let's demonstrated the technique using the Alto and Goth families from Sunset Valley.
We'll start in the Alto house, because it's got plenty of space in the yard for a dive well.
This trick requires use of the testingcheatsenabled and buydebug. If you don't know how to activate them, go look it up. Got it? Good. Turn both of them on.
Now, place a dive well on your lot anywhere it will be accessible.
To get to this magical section, I want you to hold down Ctrl and Shift, and then click on the dive well. A menu should pop up that looks like the below image. I want you to click on "Change This Well's Name" as is highlighted in the image.
Don't forget that you can click on these images to see them bigger.
A box should pop up that will allow you to enter in a name for this well. I have chosen "Alto Home", though feel free to pick anything you want.
That's all we can do on the Alto lot for now. We will now start building on the Goth lot, for which I had to switch active households to do.
As before, place a dive well somewhere on the lot. If you wish to actually break in, however, you must place this well inside the actual house. Otherwise when you travel here you will be stuck outside the house, and honestly we've got cabs for that kind of a visit. Here I've placed it in the master bedroom.
Again name this well. This time I have named it "Goth House". Why yes, I am inconsistent in my naming. I suggest you do a better job. :P
Now for the fun linkage part.
Ctrl-Shift click on the well again, and click on "Make this an uber warp well".
This will pop up another box. This is where you enter in the name of the well you would like to link it to. In this case, we will be linking the Goth well to "Alto Home".
Now we are completely done in the Goth house. Switch back to the first house and we shall repeat the linking for that well. Obviously I will be linking the Alto's well to "Goth House".
After that, the only thing left to do is test it out! Here is a video showing it in action.
The main downside to this is that you have to do a lot of prep work. You have to place a well in each place you would like to go, switch lots all the time to get things linked, etc. Plus, wells are huge. However, it is perfectly possible to create chains of wells. Alto links to Goth who links to Wainwright and so on. And if you wanted to, you could place a well inside an uninhabited home and use it as a home away from home, a trick, by the way, that ghosts are also capable of preforming provided the house in question doesn't have a foundation.
I might also suggest turning off both cheats once you are done. I don't like to leave them on any longer than I need to. Just because the testing cheats are potentially dangerous, and buydebug is way too tempting.