Dear Petia,
The possibility to create connections using a sparse matrix for the weights, where connections are made only for non-zero weights, is now implemented and merged into master. This feature will be part of the NEST 3.0 release. An example on how to efficiently create such connections from a sparse matrix is added to the documentation:
https://nest-simulator.readthedocs.io/en/latest/guides/connection_management...
Best, Håkon