In this article Mystery talks about building an emotional connection (in the M3 Model called A3 = Male To Female Interesst)

When people share vulnerabilities with each other, it demonstrates (and creates) an emotional connection between them. It's one of those things that, if done too soon, will come off like you are trying too hard to gain rapport with her — a DLV. So don't be Captain Sensitive when you first meet her. But used at the right time, sharing vulnerabilities is a powerful comfort builder.
Did she tell you something personal about herself? Did she tell you a secret? The Question Game is very useful for this sort of sharing. It's also possible to structure stones to make the reveal of vulnerability appear to be accidental.

Some examples of field-tested vulnerability stories:

So much unattractive behavior comes from a desire to avoid vulnerability. The secret is to embrace your vulnerability and still be unaffected. It's ok to be wrong. It's ok to laugh at yourself sometimes. Think about it: if you're sensitive about her seeing that you're wrong, then it obviously matters to you what she thinks. But I thought you were unaffected? So the next time you tell the story of when you fought a lion with your bare hands, remember that it's more attractive - and interesting — to admit you were scared shitless than it is to play Mister Tough Guy.