Ambulatory locomotion in nature has evolved to address major challenges, such as varying contact dynamics, harsh unstructured terrains, and power limitations. This has been an inspiration for engineers and scientists to develop a novel class of bio-inspired robots such as HAMR and RoACH. A major hindrance in the practical application of these robots is the inability to traverse across unstructured terrain and limited payload capacity. Insects work collaboratively to carry objects that are significantly larger than their body mass and build structures (i.e., bridges or rafts) to traverse over obstacles, creating physical connections and chain-like structures to achieve these tasks. Modular robots at conventional scales have demonstrated a number of attachment strategies, but many cannot be employed on the mm scale due to the physics of scaling. Here we address this challenge by developing a docking mechanism that meets the size, weight, and power requirements for a cm-scale ambulatory microrobot that enables the formation of chain-like structures. In this work, we discuss the design, manufacturing, and analysis of this docking mechanism, which employs a custom-made low-voltage electromagnetic actuator, a planar spring, and a permanent magnet to achieve mechanical locking between the robots. The actuator runs on less than 2V, consumes 95mW of power, and can generate displacements up to 1 mm. We anticipate our work to be a starting point for more sophisticated modular and swarm ambulatory microrobotic systems.