To create new link/shortcut go to Files > New > Link. Add link/shortcut dialog will appear. Selected file will become initial target of the link/shortcut. You can of course change it to whatever you want.
To change target of existing link/shortcut, select it in file panel (links/shortcuts have arrow overlay icon) and go to Files > Edit Link. Edit link/shortcut dialog will appear. You cannot edit remote hard links. You will not be able to edit even remote symbolic links (symlink) if session option Resolve symbolic links is disabled.