Exactly. None of the islands grids are connected. I worked for a power plant on the big island a few years ago and even then there was a big issue with too much power during the day and not enough at night. Coupling that with the intermittent wind power and you have a very hard grid to maintain.
NextEra (the energy company that recently bought HECO) is looking to do just this. A Sept. 2013 report by them estimates a capital cost of approximately $600 million for a 200 MW cable connect between Maui and Oahu. (source page 8 of [1])
This is the low end of the scale with other estimates ranging from $553 Million to $1.24 Billion (page 9).
Note that this does not connect the Big Island to the grid either.
The preliminary proposed route can be seen on page 84 of the report.
