If you right click on a file or directory, there is an option to 'Make Link'. However, this will only work if you have write access to the directory the thing you wish to link is in (ie, it doesn't give you a choice for the destination). However, if you middle click on the item and drag to the destination, you get a menu with options to Move, Copy or Link.
Nautilus scripts appear in a 'Scripts' submenu, either off the File menu, or off the right-click context menu. However, the Scripts submenu won't appear unless you have at least one script in your scripts directory - /.gnome2/nautilus-scripts.