Wikipedia's articles are interconnected through those blue links that lead you to other encyclopedia: wikilinks. This is how you get from a villainous pro wrestling group to Philosophy in 11 clicks of a mouse.
All you have to do to create a so-called wikilink is add two brackets to either side of any word (of words!) that has a Wikipedia page. [[Super Mario Bros. 3]] creates a link to the greatest video game ever.
It's tempting to create links to everything, partly because you have seen it done so much. But be careful. You do not want to overlink. The Manual of Style says wikilinks are meant to guide readers to relevant pages that will be helpful. Overlinking is cumbersome and distracting. Look at the lead sentence to Bob Dylan's Wikipedia page. You could link every noun in the sentence, but it does not make it a good idea.