How is direct drive propeller connected to the shaft of a motor?

If I understand your question correctly, you will need a "prop adaptor".

See some samples here : 

http://www3.towerhobbies.com/cgi-bin/wti0095p?FVPROFIL=TF&FVSEARCH=prop+adaptor

There are also "prop saver" ones where the prop is connected with rubber bands, so if the prop hits the ground during a crash, it just pops off (instead of breaking up), like these : 

http://www3.towerhobbies.com/cgi-bin/wti0095p?FVPROFIL=TF&FVSEARCH=PROP+saver

Check these out :
http://cgi.ebay.in/Prop-Saver-Adapter-3mm-with-one-band_W0QQitemZ110309032823QQcmdZViewItemQQptZLH_DefaultDomain_203?hash=item19aeee4377&_trksid=p4634.c0.m14.l1262&_trkparms=|301%3A1|293%3A2|294%3A30

Or
http://cgi.ebay.in/Propeller-Shaft-Adapter-for-2-3mm-Motor-Shaft_W0QQitemZ110368717146QQcmdZViewItemQQptZLH_DefaultDomain_203?hash=item19b27cf95a&_trksid=p4634.c0.m14.l1262&_trkparms=|301%3A0|293%3A1|294%3A30

Normally is supplied with the motor in case of outrunners, for inrunners you have to buy them.

Rgds
sai

How does one decide which adapter to use?
I couldn't find much on the internet.


Thanks
Adi

Sai sir , will your 3mm prop saver adapter be compatible with GW/EP9050  which you suggest giving with A2212-13 motor(3 mm shaft size)?

yes