Do you mean hyperlinks to footnotes or so? You'll have to do this in the code view. E.g.
Code:
<p><a href="#note1">See footnote 1</a></p>
<p><a id="note1">1</a>Here comes the text of footnote 1</p>
One Tag is the hyperlink and the other is the destination.
But this is plain XHTML, not specifically Sigil related. So just google for "hyperlink html" and you will find everything you need.