You can use the function below to make it.

But in order to replace it rightly, you need to put you cursor inside the word or at the beginning of the word.

(defun word-to-link ()

(interactive)

(let ((word (thing-at-point 'word)))

(forward-word)

(kill-word -1)

(insert (format "[[%s]]" word))))

Hope it helps. And any improvement will be welcome.