Nested tags are illegal, so Id tags have to be separate from href tags. You also need to point the footnote link in Chapter 2 to Section0008 (or wherever you have the footnotes located). So, something like this:
CHAPTER 2
<p>This is the text as it would appear in code view.
<a id="fnt-2-1"></a><a href="
../Text/Section0008.xhtml#fn-2-1">[4]</a> </p>
CHAPTER 8
<p>
<a id="fn-2-1"></a><a href="#fnt-2-1">1</a> This is what it says in the note. <a href="../Text/Section0002.xhtml#fn-2-1">[return]</a>)</p>
To work with the HTML, you'll need to have the Split View or Code View button selected in Sigil:
If you're working with the Split View, you'll need to make sure you have the HTML field selected instead of the Book field. I double or triple click on something in the HTML view to highlight, then I
know I have the HTML field selected. Yes, I've mistakenly entered plenty of HTML up in the Book field.
Hope that helps!