Basically, when reading an email (in gnus, in wl, in other emacs MUAs
  possibly), type "C-c l" (org-store-link) which will /store/ a link to
  that email ("store" is the wrong word, in my view; it should arguably be
  "make" or "create" or "define" or ... but that's neither here nor
  there).  You can then put that link in an org file with "C-c C-l RET"
  (org-store-link, accepting the default which should be the last link you
  stored).

Perhaps my capture setup isn't fancy enough, but I think it would be
nice if the default for capture when invoked from gnus were to grab the
gnus link and insert it in the body of the new org headline.