To connect VMs directly on the host, without sending the traffic to the external world, a host only network can be used.
A virtual bridge interface will need to be created, but there is no need to bind it to a physical network interface.
vi /etc/network/interfaces
Add the following lines to the file:
auto vmbr1
iface vmbr1 inet static
bridge_ports none
bridge_stp off
bridge_fd 0
NOTE: All VMs connected to this interface will be able to talk to each other.