If you know your sites are going to be in the same directory then you can use the browse file system button to select the pages and create relative links to the other sites pages.
Thanks Eric, very helpful. Just for clarification, when you say "unless you have the sites in the same directory on the server" do you mean they need to be in the same local testing server or as long as they end up in the same remote server? Or both?
If I go with an "absolute address" would it be filename.php? Or would it be the path to the file on my local computer? pagename.php?