Sorry. Seems to be feature I added later and never updated documents with.
First mark a node with Left Click - it becomes Blue.
Then hold Shift and Left Click another node - it becomes Red.
Now enter a number into "Link Data" and press Apply to create the link between the two nodes with specified number (data).
So you can first mark a length of nodes with Blue and then hold Shift and mark another length with red.. and then do Apply to quickly link them all up.
The number you entered help identify what kind of Link is it. You will see in example 6 I marked the door area with #1 (and it shows up as a blue link) while the nodes around the walls are marked as #2 links and shows up as Green.
Sample6Controller.OnNodeCostCallback() I check for this number (data) to decide whether movement is allowed or not.