I think you can put an address, but don't think you can put an embedded link. If you change the autotext on your account, you could see. Just write the HTML tag and insert and send a message.
I just go to the destination, press the letter P and the copy address popup should appear. Then just copy and paste it. But as far as I know you can't embed it into another phrase. Let us know if you find a way.
Posted from my CrackBerry at wapforums.crackberry.com