Write device connection guide

[TheNorthStarYang]

Goal

Create a clear device connection guide for AhaKey Desktop so that new users can connect their device more easily.

Scope

• explain the expected connection flow
• describe what success looks like
• include common connection failure checkpoints
• avoid unrelated refactors

Where to edit

• repository: desktop
• relevant path: docs/connect-device.md

Notes

This issue is part of the early community onboarding / baseline cleanup.

Contributors are welcome.