The Variations section of the Configurable Product Edit Screen has a "Link Products" button.
You must define Variation Attributes before simple products can be linked.
Clicking the "Link Products" button will open a window and load any simple products from your catalog that have values set for the custom attributes assigned to the configurable product.
From here, you can select, or multi-select and add these products to your Configurable Product as Variations.
Products will not be linked until you click "Save" on the Configurable Product.
Updated over 2 years ago
How to do this with a CSV Import: