For individual files
in the Add Item dialog box, you'll see a small arrow pointing down to the add button
click it (since it is a drop-down button) and select add as a link menu item. which will add the item as a link
For multiple files
in the dialog for adding existing elements, SELECT all the files that you want to add as a link and click on the menu item to add the add button as a link
For multiple files in multiple locations
If you want to select a folder and add all items to all subfolders, you can do it this way
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Visual Studio - BULK LINK?
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Dan