There are link-ripper programs -- even javascript applets that will pick all the links off the page and put them in a separate document.
Once you do that, you can easily move each link to it's own line (copy from the browser screen to a text editor without formatting).
Once each link is on it's own line, you can import that into the links database.
If you need something fancier, you'll have to look for some link-ripper that will put a link into a formatted field or flat-file database, then import that.
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