To link to a wiki page on your website, use three brackets on each side of the url of the page you want to link to :
This results in link.
Depending on what "theme" you have used for your wikidot site, the links are coloured to denote if the page you have linked to exist or not. As an example: Using this "theme" (Flannel Ocean) :-
If the page already exists, it will be blue after you save the page. If the page does not already exist, it will be gray after you save the page.
In the case that the page does not exist, if you click on the link you will be taken to a page where you can create it. See start-a-new-page.