Yes, you can do that.
The first step is to add the AutoFormat Now command to your Quick Access Toolbar. In the Customize Quick Access Toolbar dialog, you'll find this after setting the "Choose commands from" dropdown to "Commands Not in the Ribbon".
Next, go to File > Options > Proofing > AutoCorrect Options and click the AutoFormat tab of the dialog (NOTthe AutoFormat As You Type tab). Uncheck all the boxes except the one for "Internet and network paths with hyperlinks".
Open your document full of links, and click the AutoFormat Now button on the toolbar. Done!