I use Paperpile, not Zotero, but I’m not sure I understand the question. Are you wanting to link to the PDF file in the reference manager, or are you wanting to produce a document that will have a formatted bibliography (i.e. link to the original cited work in a way that can be used for journal submission)? For the former, Paperpile can give you a URL for each item, can Zotero do something similar? For the latter, Paperpile is not currently so good as it is optimized for Google Chrome, but they will have document scanning for plain text eventually. Till then I generate a “citation key” that I can then use for searching when I ready to work on my final document.
UPDATE: four years later, I now use Zotero. You can see my instructions for this here: