I'm not sure whether you mean you want to link from your hubs out to your Web site or from your Web site to your hubs, but both are fine -- with one caveat: don't put links to your Web site in every single hub, or your HubScore will go down. HubPages evaluates how many "self-serving" links you have across all your hubs and will dock your score if you have too many going to the same site or group of sites.
I have some links to my sites in my hubs, but mostly I put links to my hubs on my sites and blogs. I get a lot of traffic that way.
In case you're interested, I have a hub that gives extensive info about how to set up your hubs and get traffic. You can find a link to it in the copy on my HubPages profile page.