I don't think anyone has found a way to do links in an RTF so far. They do work --
within a given file -- in PDFs and LRF (BBeB) files, but I don't think anyone's figured out how to put links in their
own BBeB files yet.
It sounds to me like a tablet PC, or just a plain old laptop might be more suited to your RPG needs -- at least until the tech matures and branches some more.
The Reader really and truly is optimized for reading page by page, front to back, like a novel. It does that quite well, but it doesn't do much else well. The iLiad might be more suited to your RPG purposes since it seems to be a bit more flexible in its approach to handling files, but that's not a terribly experienced opinion, as I haven't had much exposure to that device.