Just open rox-filer and drag and drop.
An example:
rox-filer /usr/share/applications
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Edit: 11.6.2023 An alternative way: https://puolanka.info/goto/general-rox-desktop-linkmaker-for-antix-linux/
Edit: 17.5.2023 A simple script for making links.
#!/bin/bash
yad --form --width=600 --text="Make Desktop link on rox-deskto by drgging file. After getting link ready, you can edit link the next way: Right mouse click above item and there option EDIT ITEM:" \
--field="Choose file for a link":fbtn "rox-filer /usr/share/applications"
--button=gtk-cancel:1
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