Hi Michael,
You don’t have to use the linkTo helper, but it is highly recommended - for three main reasons.
Hard coding links into your templates means that if you were to change your route structure, you would have to find every instance of that link in your templates and amend it to match.
If you use the history location API rather than hash, you will have to do some server-side configuration to have your server invoke the entry-point of your ember app (index.html, probably) on every request (but not for assets like images, etc).
Finally, the linkTo helper allows you to pass an object through to the route. So if you have a list of users with links to their individual pages, you can pass the user object through to the user page and Ember won’t have to load that user’s data from the server again (it’s already loaded it once for the users collection).
There are probably more advantages, but that’s all I can think of… To everyone else: if I’m wrong, feel free to correct me.
Edit:
I almost forgot, to add a class to your link, just do:
{{#linkTo "yourroute" yourmodel yourmodel2 class="yourclass"}}Anchor Text{{/linkTo}}