This should help How to Create Hyperlinks in WordPress ~Marion

1.Highlight the word(s) that you want to link.
2. click link icon in tool bar (at top of the page) - a popup box should appear.
3. copy the url that you want linked and paste it to the popup box in the URL part.
4. click blue button add link

as am new and not familiar with word press i will offer what you may already know.

don't take them off your site; use a pop up window or a text word link, not an actual link. let the reader coose to leave but don't take them off your site. i trust seniors will chime in on how to do this via wp express and a plugin possibly...

If you highlite the words you want your link to say on your site and
When the adda link box opens you put your link in and then under neath it will have a box on what you want the link to say. Put I'm the words you have high lited on your site.

I usually have the link copied so I just have to paste it.
I hopr this helps. You can also highl ite pictures and Banners.

Marty

So in the editor to you highlight the word first and then click on the link icon in the tool bar? When you open the linking tool it tells you which word is having the link added to it.