Create an Explode Line Sketch and then use the Route Line command to indicate which components should be connected by an explode line. For a bolt that has been exploded out of a hole you can select the cylindrical face of the bolt and then the cylindrical face of the hole. Right click to accept and move on to the next explode line you want to create. Fast and intuitive.
If you are using the normal sketch tools in an Explode Line Sketch, you shouldn't.
You might want to try unchecking the "Along XYZ" box when you create your explode lines, then they should go straight from point A to point B. Also sometimes it might be easier to manually sketch exploded lines, which can be done. If you edit the exploded line sketch you can draw regular lines (not construction lines) and they will show as exploded lines.