Your best bet is to boot off the OS X install cd, mount your OS X partition manually and do it from there. If the link isn't system related, a MacOS alias might do the trick (command-option drag the target file).
If I remember my OS design text on unix correctly that shouldn't work. Regardless, OS 9 seems to trap the file open call on links and issue an error message.
Since a symlink is a special Unix file, I don't see how OS9 (without any third-party help) could create one; it's a simple file, but has a special filetype in its containing directory.