It is not possible to add hyperlinks in SMS, although you can send the URL for the user to copy and paste in their internet browser.
Most smartphones will convert text that looks like a URL in SMS to a clickable link. So for example, www.google.com or (even better) https://www.google.com will often be converted.
You can add links and URLs to emails and in-app messages using the link button when creating the communication.
If you're not sure how to get a URL, you can see how to do so here.