How to properly point out the M.Sc. thesis in a Ph.D. application
I would advise to add the links, because I don't see what you could possibly lose by doing so instead of not doing so.

You can add links in LaTeX using

 \href{link.to.thesis}{My MSc thesis title}


In my opinion, this is a nice way to link to everything relevant that can not be properly adressed nor otherwise included in your CV. You can for example provide references such as the homepage of your advisor, your department, your other software projects etc. - all just by putting links behind their names.