Question is - when I create new sprite instance in the game how to make it connects to all other instances through the lines (like in the game World of Goo)?
it depends whether u can move new sprites.
but teh way to do this I can think of would be.
spawning new sprite, setting its height to distance between two sprites, then rotate/moving it so its in correct position.
or u can use canvas, but I never used canvas so I dunno how.
there is also line object, u could use that as well. this is probably best option. I didn't know it was there till now.
I'd need a bit more info to give u any advice on how to connect the instances, it realy depends on your game mechanics.
to make something like world of goo, you probably could do something like, Pick all instances within X radius and connect new sprite to each.