In previous versions you could just right-click on a file, and choose “Make Link”. However this possibility is removed in Mint 19.2 by default. You can get it back by opening Nemo (Win+E). Then go to Menu –> Edit –> and activate “Use full context menu”. Now you have option “Make Link” when you right click on a file or folder“.
The alternative is click on a file and just press CTRL+M.