To create a new page, just make a name and surround it with double square brackets like so: A New Page. When you save the page, the link will show up and you can click on it to create the new page.
Linking to a page with different text
If you don’t want to use the page’s name as the link text, you can specify your own text by placing a vertical bar | and the link text in the link like so: Linking with different text
Linking to characters
For PCs and NPCs in your campaign, the easiest thing is to use the PC/NPC Link Lookup in the sidebar to the right. It’s quite handy! Otherwise, the links behave much like a wiki link, just with a colon at the start.