To follow external users, visit their mastodon account and click on 'Follow'.

This will popup a window asking your mastodon identity (which will be username@LOCAL_DOMAIN).

If you have an existing account on another server, you can bring those connections with you to your own server. For this, go to Settings -> Data Export and download your following list as a CSV file, and finally on your own server, you go to Settings -> Import and upload that file.