Connect this to that with a set-screw coupler. These couplers are made of machined aluminum and have a spiral cut that makes them slightly flexible so they can be fit to two shafts even if they are not perfectly co-linear and will help reduce binding effects. The way they're cut, they're a little springy in the X Y & Z linear axis but not in the rotational axis. That means that you won't get increased backlash - so they're suitable for precision CNC work. 

This coupler will connect two shafts of 5mm diameter. A perfect add on for our stepper motors. Comes with two sets of double set-screws (two per side) for secure attachment. You'll need a 2mm allen wrench to tighten/loosen the set-screws. 

Aluminum Flex Shaft Coupler 5mm to 5mm (0:26)