This is something simple, but I’ve been asked several times about it already, so I’m going to post instructions here on how to achieve this.
Requirement: Store documents and links to documents in the same library
1. Create a Document Library within your site
2. In Library Settings > Advanced Settings enable management of content types
3. Add content type from existing site content types
4. Select and add Link to a Document as a new second content type
5. Start adding content using both content types:
Now you can store in the same document library both Documents and Links to external documents.
Hope this helps, enjoy!