adobe illustrator - How to make rounded corners from shapes drawn with lines?

I am trying to make a shape like this:

And so far in Illustrator, I've drawn this:

Now, I know how to make a rectangle/square rounded. Select object, go to Effect -> Stylize -> Rounded corners...

But, when I select them all (except the rectangle) and do this process, it does nothing. Possibly because I've drawn the lines individually.

Can anyone explain and/or advise a way to get them rounded?

Answer

The pen tool is going to be better rather than drawing each line individually.

However, you can take your paths and combine them into a single path by selecting them and going to:

Object → Path → Join or Right Click → Join

and then you can round that path by going to:

Effect → Stylize → Round Corners

Alternatively, once the paths are combined you can individually select the points and adjust the corners however you'd like using the pen tool.