I would and DO link to my website from my Hubs. There are 2 reasons for this that jumps to my mind instantly.
1 Because your website is not going to rank as high for your keywords as Hubpages usually does.
Important. Link from your Hub written around a certain keyword/keyword phrase to a specific webpage that is also written around those words. Do not send the traffic to your Home Page. This will drive traffic to your website even if it does rank nearly as high in the SERP.
2 Because you want incoming links to your website. This practice will help give you an incoming link, a very important Internet Marketing Strategy. These incoming link will help give your website authority and will help your specific pages rank higher in the SERP.
It is even a good idea to link back and forth from your website yo your hubs. This will give your readers more exposure to your various articles.