and what little dances are are they doing with those little legs??

It's crazy how cute a lot of these things look under a microscope. Even E coli. looks adorable wriggling around.

The "legs" grab onto bacterial cell membranes to insert the central stalk like a syringe. It is a specialised adaptation to parisitism of a specific kind of host, which is observed in many advanced obligate parasites. This kind of specialisation results from many generations of co-evolution.