My suggestion would be to export work items that have the links you desire. This will tell you the format for the link type. There are work item to work item link types, they will show the work item number and you can try to import them the same way you import parent/child attributes. Other link types require an URI. I unfortunately don't know what the built in CSV export/import supports in detail. 

In the work item command line I implemented support for other links, including in CSV export/import. One mode uses data similar to the built in import. Another mode supports a WCL specific specification of data that is easier to parse and used in the other WCL commands.