I didn't ever really use Wings3D and don't know about the latest additions but what you want to do might be impossible with Wings3D. It imo has a stupid system when it's about things like that. You cannot select some vertices and let it create a face connecting them and merging things just as creating new edges only works inside of a closed body. So if you create a cube and another object and try to e.g. weld things you get a message saying you can't do that over multiple objects. So you combine your objects but you still get to know that you cannot cross-connect seperated "volumes"...

There's a trick to sort of do what you want though - at least I just managed to do it while trying to figure things out:
I guess you already dissolved the bottom of your spheric head into one face. You then simply need to select that face just as the top of your cylindric neck. Then you simply apply the "bridge" command and it should work. Gave me this result:


Ok so in the end there is an option to do what you want to do but I'd describe it as ugly as imo Wings really lacks control here. At least I'd hate its restrictions...

Enjoy your meal
Toast