Commenter Mihai wonders, "Why would I want to keep the original file and the link in the same folder?"
Dragging a file, and in particular right-dragging a file, is not easy for all people. There are people with poor dexterity who have trouble with dragging; for them, right-dragging would be even worse. But even people with normal levels of dexterity have problems with dragging: Just put them in front of a Tablet PC. On a Tablet PC dragging with the fingertip can get tricky because your hand obscures the drag target, and most people don't have very pointy fingers, so the precision of the drop is pretty poor.
There's another group of users, much larger than Tablet PC users, which have trouble with drag and drop, and you are probably one of them: Laptop users with touchpads. Dragging with a touchpad is a very tricky proposition, particularly if you are dragging a long distance that exceeds the size of your touchpad. If you're really clever, you might be able to multitouch the touchpad and let the second finger continue the drag, but at least in my experience this is not a particularly reliable mechanism for dragging long distances. Even if the mouse motion is continuous, you often get a spurious mouse-up event, which ends the drag prematurely.
For users for whom dragging is difficult, it's much easier to create a shortcut in the same folder, and then move it to its final destination.