A Connected Dominating Set (CDS) of the graph representing a Wireless Sensor Network can be used as a virtual backbone for routing in the network. Since sensor nodes are constrained by limited on-board batteries, it is desirable to have a small CDS for the network. However, constructing a minimum size CDS has been shown to be a NP-hard problem. In this paper we present a distributed greedy algorithm for constructing a CDS that we call Greedy Connect. Our algorithm operates in two phases, first constructing a dominating set and then connecting the nodes in this set. We evaluate our algorithm using simulations and compare it to the two-hop K2 algorithm in the literature. Depending on the network topology, our algorithm generally constructs a CDS that is up to 30% smaller in size than K