If you want your peripherals to communicate you will need to connect them
together. In order to do this they must have some ports. The specification
of those ports is up to you but they must appear in the VHDL/Verilog code
(obviously) and also in the MPD file for your peripheral. The ports will
then appear in XPS, in the "Ports" display mode. You can make the ports
external (as you would usually do) but you can also connect ports
internally simply by connecting them to the same net, just assign unique
net names and you're set.
If your port uses a standard xilinx bus spec (like MCH/XCL initiator and
target) it will appear in the main window (provided the MPD file is
correct) and you can connect it by clicking on the little wires and
triangles XPS displays, just like you would connect a peripheral to the
bus.
For instance I created a peripheral that must access data from RAM at
high throughput. I gave it a MCH initiator interface and connected this to
the mch_sdram controller using the GUI. I had to hack the files a bit to
get the correct syntax but it's easy. You have already done this if one of
your peripherals has an interrupt that you connected to opb_intc, it's the
same.
The interface sucks, though, you might want to edit the MHS file directly
and do some happy copypasting.