Also do I hook up the common leads as well for in X-Y mode in general ??
Just treat the two inputs the same as you would for normal 2 trace operation - common ground for all channels.
I never played around with it. I have 2 little function generators, I should try them as X-Y
You can have hours of fun with Lissajous figures checking out frequency and phase relationships - but there's a lot more you can do.