Sometimes one page is just not enough for a story, or you want to write an interactive story where the reader gets to make choices and read about the consequences. That's where links come in. You should have already made one link in that you made the link to the first page of your story. In it's simplest form, a link is simply a page title surrounded by double braces:
The problem is that each page needs a unique name. As we get more stories, they could start bleeding into each other as we start duplicating page names. The way to handle this is to make the links unique to the story. The easiest way to do this is to add the story name to the link:
[[My Story/Chapter 2]]
This also makes your choices sub-pages of your story, meaning that it will provide a link back to the beginning of the story at the top of the page, pretty handy for interactive stories.
Now comes the other issue. Who wants to see the story name in front of every link? I know I don't. So you simply create an alternate text for the reader:
[[My Story/Chapter 2|Continue to Chapter 2]]
Now the reader only sees Continue to Chapter 2, while the page name is nice and unique to the story.
Adding the story name also adds another problem. When you view your category page (index) every page is lumped under your title instead of listed alphabetically. The way to avoid this is to use the same alternate text feature on the category that you put on the bottom of the page:
[[Category:My Story|Page Name]]
In this case, Page Name should be the name of the page you are editing without the story name in front of it. This will not actually change how the page name looks on the category page, but it will change where it is listed alphabetically.