You want to connect the negative lines, but you don't necessarily want to connect negative terminal to negative terminal.
I run both of my negatives to a 'common ground', which I use a heavy duty bus bar that has 4 bolt connectors. Then all of my other ground wires (from engines, breaker panel, electronics, etc) go to this bus bar too. Then I run 1 battery positive cable to each switch position (starting battery #1, deep cycle #2) and the other positive wires (engine, breaker panel, electronics, etc) to the middle switch terminal.
The bus bar allows you to isolate the batteries w/ the switch and allows easier connection of all your other ground wires.