In MediaWiki software, (which Conservapedia uses) it is done by putting the term in double square brackets. For example, "[[wikifying]]". It is not necessary to use underscores in items of multiple words; plain spaces, which look more natural to the reader, work. For example, "[[Main page]]" goes to the page with title "Main_page".
Be sure the wikilink is correct. In the review window, it should show up in the appropriate color (typically blue) and should be able to be clicked on. If it is wrong, you have the dreaded "red link".
If you want the text that the reader sees to be other than the page name itself, write the page name, followed by a vertical bar, followed by what you want the user to see, all within the double square brackets. For example, "[[Main page|this]]" will appear as this.