This command will make shortcuts to any selected items, putting them in the same place as the items:
Copy HERE MAKELINK PATTERN * AS *.lnk
Removing HERE makes the shortcuts in the destination folder instead, if you want that (use this if you want to create shortcuts via drag & drop):
Copy MAKELINK PATTERN * AS *.lnk
If you need help with how to set up either command, let me know which method of creating shortcuts you use and want to focus on.