If you include a complete URL in your report or document body, as long as you produce the PDF using the built-in PDF driver option, it will become a live web link in the final PDF. 

For instance if previewing using Save > PDF.  If printing a report, print to the PDF Document driver or use the Print to Email option.  If you use a third-party PDF driver, then this won't automatically happen.

The built-in PDF driver also will automatically create bookmarks for your forms and names of documents that quick link to those parts of the report.  If you use a third-party PDF driver, this functionality is not available.