Hello , DavidBurrin
Welcome to Microsoft Community.
According to your description, the best way is to move the Excel document directly into your OneDrive folder. After that, the default folder will be the OneDrive folder each time you want to create a hyperlink. Click "Open Folder" to go to the OneDrive folder.
And then move this Excel document to this location.
Then next time when you create hyperlinks in this Excel document (Mine is Book1), the folder will automatically be located in your OneDrive folder, so that you can create hyperlinks from the files in OneDrive folder.
In the same way, if you save this document on the desktop, the default is "Desktop".
Feel free to post back if you have any other concern.
Best Regard,
Yuhao Li| Microsoft Community Support Specialist