1. Paying attention to the linking mark, listen carefully.

2. Mark 'linking' on the place where two words are pronounced as a linking sound.

3. Mark 'linking' between two words which are pronounced as a linking sound.

4. Put 'the linking mark' on the place where two words are pronounced as a linking sound.

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Are the expressions above grammatical?

The first and third are best. The second and fourth are OK, but I don't think you need the phrase "on the place."