Align the yellow circles together and press right click
oops, i forgot to mention, in order to build a rocket you first have to attach a part to the launchpad (anywhere in the grey square) with right click (ex grab an engine, make the bottom yellow circle overlap the launchpad, press right click, now every time you grab a new part the engine will highlight its yellow circle too)
When you hold middle click and move your mouse around you can rotate any part