This forum gives you some ways:
[list type=1]
[*] write
http://blah and it creates the link for you, from http up to the first space (as it just did in this line). No BBCode or button needed, but can get confused with spaces or commas, like in
http://blah, for example (notice the comma after the h).
[*] write the full BBCode (all the [ , ] and other required parts, everything), by hand, or with help from the insert button ("help", it does not do everything, you have to write something between ] & [ ).
[*] write
something, then select with mouse the desired words, then click the "insert a link" button and write the destination (done for this line, but making sure the destination starts with http in the popup, not just bleh).
[/list]
Using "preview message" is a good tactic. Avoiding the buttons too, if you can type fast and know the BBCodes already.