Another option, more similar to your original workflow: When dragging the URL to the Quick Entry window,
don't drop it in the action's Name field (i.e. the field with focus, where you get a green circle cursor with a white plus sign in it).
Instead, drag the URL to the row handle (the area just to the left of the Name field) and you'll get a curved arrow cursor (which means "alias" or "link" in OS X). When you release, the URL is automatically added to the Comments field. And if it's a valid format (which it should be if it came directly from Safari) it'll automatically become an clickable link.
As an aside, if you select and drag the URL itself from Safari's address field, you'll get a link that looks like this:
http://www.omnigroup.com/
However, if you grab the favicon from Safari's address field (little icon to the left of the URL) and drag that to the Quick Entry window, you'll get the site's title in the comments field that's a link to the URL. So you'll have a link that looks like this:
The Omni Group
Sorry if you already knew this. :)
-Dennis