We have a photo showing how everything is connected on our pixhack quickstart guide - including full diagrams of the pin mapping on the pixhawk. If there is something that is not clear just let me know and I will try to explain it and send extra photos.
In the case of the OSD, the calbe included in the pack with the I2C splitter and LED module as the wire has an extra 4 pin connector coming out of it which you need to plug into your OSD module:
If you have any other questions let me know and I will be happy to help explain things…