I'm not a pro myself, and am still experimenting/learning about SIESTA and TranSIESTA. What me and my colleagues usually do is run the electrode files, i.e., the left, then the right, then the device (which includes both the left and the right electrodes).
In response to your question, your electrodes should be part of your device, but in their respective .fdf files, they should have lattice parameters such that the electrodes are periodic and semi-infinite. Then in the main device, the left electrode coordinates should be listed first, followed by the device, then the right electrode. The electrodes need not be directly connected (I don't think you should, but then again, I've never tried that).
An example might help.
Say I have a rectangular sheet of atoms arranged in a $m$ by $n$ grid = $mn$ number of atoms (in the $x$ and $y$ direction respectively), and a unit cell of this sheet is $p$ by $q$, where $p$ = $m$ and $q$ = $n$/10. And the transport direction in this case is the $y$ direction (in the manual it must always be in the $z$ direction, but for the sake of simplicity we use $y$ here).
For an electrode of 3 unit cells (you can have any number, but the manual suggests at least 3 last I remembered), my left electrode .fdf file would include the coordinates of the first $p$ times 3$q$ atoms, with the lattice parameter block containing a cell size that would ensure the 3 unit cell electrode is periodic (so that it's semi-infinite to the side not connected to the device). 628
I do the same for the the right electrode file, but this time with the last $p$ times 3$q$ atoms.
Moving on to the device, the .fdf file would have coordinates of all $xy$ atoms, arranged in the order of left ($y$ = 0 to 3$q$), middle (non-electrode, so coordinates of $y$ = 3$q$ to $m$-3$q$), and the right ($y$ = $m$-3$q$ to $m$). The lattice parameter in this full device file doesn't quite matter as the electrodes I don't think, and typically I use a huge box so that there are no effects from periodic boundary conditions.
And that's how I usually do it. You can play around with the parameters and flags as well to suit your computation needs. After TranSIESTA I run tbtrans (which is a post-processor they provided), but I'm getting weird computation times with that. Also, this is SIESTA 4.0 I'm using, so double check the manual if your version is different.
Feel free to comment or provide suggestions on my methods, as I would appreciate if I could get more insight on how to use the software. 724