iWork apps only allow hyperlinks to web pages, to create email messages, and to bookmarked pages in your iWork document. However, I find it useful to have links to other files in the iWork document, as it saves digging around the file system. I normally create links by selecting the file in the Finder then going to Services » TextEdit » New Window Containing Selection. This opens a TextEdit window with a link to the file, which I can then copy into any Cocoa based document. iWork apps, however, only paste this link as text.
To overcome this, I type in a line of text in the document (or in a comment) that specifies some combination of Spotlight type, attribute, and search text. I can then highlight this text and use a keyboard shortcut for the Spotlight Services menu item to bring up a Finder window containing matching items. This search can be very precise if required, and has the additional benefit that if the files are moved, they can still be found -- a traditional link would break if you moved the source file.
First set up a keyboard shortcut for Services » Spotlight. Go to System Preferences » Keyboard & Mouse » Keyboard Shortcuts, and add a keyboard shortcut as follows:
Here are some examples of Spotlight tags I might use. For each of these, I highlight the line of text, then press Shift-Command-F to run a Spotlight search using the selected operators:
Mac OS X Hints
http://hints.macworld.com/article.php?story=20080411072137949