I'm going to reply here since OP was very vague and the assumption that the target device is using FAT32 as its file system (although incredibly likely) is not an absolute.
If this is a device that runs Rockbox as a firmware replacement, then, no - you're stuck with FAT32 which means no hard/symbolic links.
If this is a device that runs Rockbox as a hosted platform, for example Android, or Maemo, or SDL, and isn't using FAT32 for the media storage volume, then yes, you can use hard/symbolic links and Rockbox won't care in the slightest.
[Saint]