The "show help" box at the lower right of the comment field gives you information on the markdown methods for emphasis and links and such.
I'm pretty sure that you just use links to your other posts for follow up links, unless I'm missing something about your question.
What about profiles? How can I create one? I see that many users have profiles: http://lesswrong.com/search/results?cx=015839050583929870010%3A-802ptn4igi&cof=FORID%3A11&ie=UTF-8&q=profile&sa=Search&siteurl=lesswrong.com%2F&ref=lesswrong.com%2Fsearch%2Fresults%3Fq%3Dprofile%26sa%3DSearch%26siteurl%3Dlesswrong.com%26ref%3Dlesswrong.com%26ss%3D703j91859j7&ss=760j108736j7
(by the way: is there a way to create shorter URLs for simple searches? I tried http://lesswrong.com/search/results?q=profile but that comes up empty)
This is a thread where people can ask questions that they would ordinarily feel embarrassed for not knowing the answer to. The previous thread is at close to 500 comments.