It's done automatically assuming the linking arrow type exists. For example, if you have something in [0,0] and you want to link it to [3,0] it won't draw an arrow for you because there is no arrow that goes 3 down. But if you set it to [0,1] it'll draw you the arrow. There is an image file in the Textures folder I believe that has all the arrow graphics, but I don't remember the name.
As far as I'm aware, you can't actually add any of your own arrow types since ultimately their usage is coded in so even though you could add the image, the game still won't know how to use it.
