You can’t create symlinks in Finder with what Apple provides you, but you can create an Automator workflow to do so easily.

1. Create a new service in Automator.
2. Select: Service receives selected files or folders in any application.
3. Drag a Run Shell Script action.
4. Shell: /bin/bash (Even if you’re using another shell as your default shell, this script is for bash.)
5. Pass input: as arguments.
6. Use this script:

while [ $# -ne 0 ]; do
     ln -s "$1" "$1 symlink"
     shift
 done

7. The result should look like this:
   

Alternately, you can download my finished service from Dropbox. It should be stored in ~/Library/Services.

You should now have a Make SymLink command when you right- or control-click a file or folder in the Finder:

You can even add a keyboard shortcut for it in System Preferences:

Remember: A symlink does not follow the original file if the original file moves on your hard drive.