When composing there is a two tier toolbar directly above the text box. On the lower tier there are familiar icons for Bold Italic Underlined, followed by a variety of paragraph alignment tools. Next, is the one you want. Point to the Globe icon and the tooltip "Insert Link" appears. Click the Globe and it will take you step-by-step through the process of creating a label (which appears in the message in blue) and adding the link (which will be hidden). You can save a bit of time by highlighting existing text to serve as the Label and then clicking the Globe to insert the link.

However, I notice that some new members of Flyertalk do not realize that the blue words are links, and may miss the point of the message.