This links plugin lets me use CTRL-K to make links. Press it in insert mode to set the k-mark, press it again to make a link.
Install this using vim's built-in package support:
mkdir -p ~/.vim/pack/AriSweedler/start
cd ~/.vim/pack/AriSweedler/start
git clone git@github.com:AriSweedler/vim-links.git links
Haha that's literally it. Vim is pretty cool and so are you if you're installing my plugin.