How to connect the gyros,ESC's,Motors to the battery?
How is the connection done? Input and Output.

Again, please search.

For example, by searching for "connection diagram" (http://www.rcindia.org/search2?search=connection+diagram), I got this :

http://www.rcindia.org/electric-power/my-esc-and-motor-burnt/

Forgot to mention.  The gyro goes between the servo you want to control and the receiver.  If the gyro supports remote gain settings, then the remote gain wire will go from the gyro to the receiver. 

In the case of quadrotors etc, the gyro sits between the receiver and the ESC (instead of the servo).