It's very simple to create hyperlinks in the ebook. It's a two-step process:
1) create an anchor in the target file you will link to
2) create a link to this anchor in the file you will link from
For example, using Sigil, you create an anchor using a pair of DIV tags and an ID property in the target / linked-to file just above the place you want to link to:
<div id="ANCHOR_NAME"> </div>
In Sigil this is what you should enter in the file you are linking from:
<p><a href="../Text/FILENAME_OF_LINKED_TO_FILE.xhtml#ANCHOR_NAME">The user will see the text here</a></p>
Obviously both FILENAME_OF_LINKED_TO_FILE and ANCHOR_NAME can be anything you choose, always best to keep them logical! You can, of course, also link to positions within the same file / chapter. And as Martin says, you need to test each link on the Kindle itself.
Hope this helps!