You can actually store those links using 'Edit Url' function.
First you should know how to write url to your local files. For instance, if you have a file named 'sample.pdf' residing at 'C:\', the url to that file is, 'file:///C:/sample.pdf'.
Another way to get the url of a local file is to open that file in your browser. Your link bar will show the url to that file. You can copy paste this. Remember, these are not relative links but actual links. If you are copying files among different computers file urls need to stay in tact. For instance, if you have files in C drive in one computer, it should be in C drive in other computers too. Otherwise, if the files are in diffent drive, the links will be broken and you won't be able to open. There is no way to put relative links.
You can get to a local file by clicking on that link using 'Edit Url' function. It will be opened in a new tab. Some browsers don't open local files as a security measure. In that case, you have to copy paste the url manually and put up it in a new tab.