To link a connected board to a build configuration, click the Link Build Configuration and Device button next to your selected build configuration.
Once this external connected device is linked, the linking button changes to Unlink Build Configuration and Device.
The information about the linked device is also added at the bottom of the board configuration details, like on the following image where a build has the nRF52840 DK linked. If you are using sysbuild, this link is only available for the top build configuration and it is used for all images or domains.
Performing actions such as Flash on a build configuration with a linked device always performs the action on that linked device.