Check out the reference for beginShape(). Place the vertices between the beginShape() and endShape() calls and store the points so you know when to connect three of them as a triangle. When you combine these two suggestions, you could get something like the code below. Clicking the mouse adds a point to the list. A triangles is drawn once there are three points in the list.

Code Example

1. ArrayList <PVector> points = new ArrayList <PVector> ();
2.  
3. void setup() {
4.   size(600, 480);
5.   background(255);
6.   fill(0,125);
7.   smooth();
8. }
9.  
10. void draw() {
11. }
12.  
13. void mousePressed() {
14.   PVector m = new PVector(mouseX, mouseY);
15.   points.add(m);
16.   if (points.size() > 2) {
17.     beginShape(TRIANGLES);
18.     for (PVector p : points) {
19.       vertex(p.x, p.y);
20.     }
21.     endShape();
22.     points.clear();
23.   }
24. }