Peter Davis writes:
> That was the first thing I tried, and Perl complained about an
> undefined variable. I may have made a typo though.

Nope, my error.  $1 gets clobbered by the second replacement.  So you'd
want what you wrote or somewhat shorter:

# hyperlinks
s/\[\[([^]]*)\]\]/

  my ($l, $o) = ($1, $1);

  $l =~ s: :_:g;

  "[[file:$l.org][$o]]"/gex;