Connecting my radio to the new harness?

ok the harness is a metra 70-2001,the radio is a sony cdx gt520,the car 1998 olds bravada 4.3 engine. i have all the wires in order now the problem is there's an orange wire called the illumination wire on the wire harness and not on the radio harness is this a necessary wire to hook up and if it is where do i hook it up.on the radio diagram of the connections it has no illumination wire. second the radio has its own neg ground wire and the new harness has its own neg ground wire. should i ground them separately to the cars frame or should i connect them together, the directions for the radio say to ground it to the frame on the wire harness package it doesn't say to ground it to the frame. third i bought some terminals they look like small cylinders. now i know the wires are to go in them at opposite ends now do i stick one wire in then twist the wires together n shrink them or just stick the wires in n shrink melt them. or should i just electrical tape them and leave it at that. i usually just tape them but they said this was a better way at auto zone. whats the right way to use the terminals. thnx for the help