There could be an easy way to do this as I'm sure someone on here must've fitted a newer steering wheel, in the meantime here's my reply.
You could buy the connectors, or remove the connector from the old airbag and fit it to the new one. Obviously you need to make sure the wires are connected the right way around.
I don't mean to sound rude but it sounds like that you're not very familiar with electrics, soldering, connectors and stuff, you may be safer getting someone else to do it for you.
Connector info from Supraforums.com, bare in mind that this is for the US car but it may well be the same.