When the phrase "running between the wickets" is mentioned, it refers to when the batsman on strike hits the ball and both batsmen set off for a run. In this case the wicket is set of stumps and bails, and both batsmen are running to the creases (which are slightly separated from the stumps) repetitively.
Its a good habit to develop your "running between the wickets" as taking quick singles can force the bowlers to shift from their plans to focussing on getting one batsmen out, and making them think about both players. It also allows the batsmen to make runs whilst boundaries may be harder to get due to a large amount of defensive fielders.
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