I am also looking for the answer to this question… is this possible?
@tpflanz, based on my research, I haven’t been able to find any support for this whatsoever. It looks like (since links reside in a separate table from posts), they’ve been overlooked across the board for custom fields.
Seems to me they (links) should either be done away with, or made into Custom Posts (post_type = links) in the core so that users don’t end up using them only to find out months later that they are not extendible.
Anyway, what I did was just create a new custom post type for “links” manually where I was able to add additional fields using the awesome “adv custom fields” plugin. Probably not what you’re wanting to hear, but I hope it helps anyway!