There seems to be a relatively easy way to fix interlinking, at least within the same sequence:
1) Open the file with Notepad++ or any text editor of your choice.
2) Do a regex replacement to add an HTML anchor after every header, with the same anchor name as in the link in the header
3) Do a regex replacement to turn every link from /lw/tworandomcharacters/articlename into #articlename
I may get around to do it later.
Personally I'd rather have all the links point to lesswrong.com, so there'd be no broken ones and so the title links could be used to go to each post's comment threads.
I've been wanting a printable copy of the sequences to read through in meatspace. I wrote a quick scraper and uploaded the results here http://pwnee.com/Sequences/list.html
Inter-linking doesn't work, but I just wanted a printable version anyway.