If you don't have a button, click in the menu and drag out a button.

While the button is selected go to the button inspector (it will appear when the button is selected).

At the bottom of the inspector you can put text in your button, choose to add a shadow and place the text in or around the button, I choose to have it in.

You can now see how the text will look.

Now it is time to make the connections...it is easy in the inspector, choose Target at the top of the inspector, then from the pull down you can select where you want to connect the button to. That is it!