Drag and Drop
The simplest way to create a cross reference is to show the items in the main side bar or as a query tree and drag and drop the item(s) to the item you want to link to.
As long as the rules are set to allow this type of link the following dialog allows you to further define the attributes for the link being created.

The results are then instantly visible in the tree.
Make Link Feature
If it is not convenient to drag and drop the items, then the context menu allows you to specify the item you want to link from or to and remembers this selection until you navigate to the item you want at the other end of the link.