Hi,
I have tried to find some info to resolve this problem with no success.

I have some random curves and I would want to connect each curve to the nearest one (finding the nearest point from/to the nearest curve for each curve). This will give me the ability to make a wire simulation with all curves attached.

I've been able to make it manually with 3 curves, using 2 add SOPs, creating 2 polygons by pattern and writing the point numbers manually.
Example:
http://img29.imageshack.us/img29/5490/manualproximity.png [img29.imageshack.us]

What would be the best way to do this procedurally with hundreds of curves?

Thanks in advance

Check this topic http://forums.odforce.net/index.php?/topic/11962-procedural-plagiarism/page__view__findpost__p__76394 [forums.odforce.net].

RDG put there some nice example of finding points by distance and connecting. Maybe it will give you some ideas.