Sure, just select the desired text and open the Format->Text->Link... menu item. A sheet opens allowing you to enter a URL. This can only be done in the Note field.
To link an action or project to another app, right-click the item in OmniFocus and select "Copy As Link" then paste wherever you like.
Also, if you have an action or project selected (the whole action, not text editing mode) and copy it, you can paste it into the Note field of another OmniFocus item to create a link to the original action or project. Doing it this way displays the action/project's title instead of the URL itself (which is what you'd get if you right-clicked and chose "Copy As Link").