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Just do a Search for your Evernote Documents on your local desktop, and save this Search Result as a Smart Folder. This will let you quickly view your local Evernote files and link them to your OmniFocus Tasks.

This is extremely limited and only good for seeing the Evernote notes on that particular machine, as they do not relate to the actual note stored in the Cloud.

So far, there is no 'elegant' solution to managing external Note Files with OF on all 3 devices.

Oh to dream :)