you could connect it to the power supply for constant power, ie fan speed, or you cold connect it to the motherboard and gain the ability to change the speed of the fan in the BIOS.
You could link fans together to use the same cord on the power supply. if you have cable management options, it would be better to do that and keep everything neat behind the motherboard tray and 3.5" cage.
You won't really want to lower the fan speed unless it is extremely loud. you won't want to change it at all if it's LED lit.
If you are a pro without a case window, and I assume that you are new to this, you want to use the motherboard, but in many situations, it's better to use the power supply for case fans.
P.S. You need to use the motherboard if the fans do not come with an adapter int the box or attached to the cable.
EDIT: make sure your cpu fan is on its heatsink and plugged into the cpu fan header.