You have to check around. It's important to have a road map. It will give you a tool to open, show and point at with a grunt or two, to let the ticket agent know for sure, where you think you want to go. Some towns may be called by a different name by the locals, but with a map to point to, you increase your chances of going to the town you actually want. Buying a ticket to the right town can be a lot of fun.
Some bus companies connect between the main terminals.
If you are in a hurry to go from one to another, and if you don't have a great deal of luggage, you could take the Metro . It could be easier to buy a taxi ticket from the kiosk inside the terminal, and go by taxi. Here is a typical border crossing example. Some of the guide books still list the old in town terminal, trust me, it's gone. The new one has a little of everything, Restaurant, safe Luggage Storage, Gift Shop.