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A differential protection CT (& off course every CT) has a primary & secondary winding, right. Now my question is that for differential protection, a CT's primary is always (or most of the times) connected in star & its actually seondary winding of a CT that is connected in delta or star(depending on requirement)????
So, when we say that CTs on transformer's star connected winding are connected in delta, this means that CT's primary is star connected & it is actually its secondary winding that is connected in delta????

Hi there. You do not have to worry about the primary sides of the CTs. These are going to be connected in series with your phases.

Concerning the technique you asked for, it is a very old one. In the star winding we connect a delta CT (secondary) and vice versa in order to compensate the currents that enter the relay measuring transformers. In new relays this is not needed because you can parameterize the type of the transformer and the relay does the whole compensation.