This does not 'Link' cells, it makes copy from source on currently selected
sheet and then pastes it on a second sheet (Sheet2 here) and then sorts it.
Sub MoveAndSort()
'presumes source data in column A
'starting in row 1 and continuing with
'no empty cells to the end of the list
Range("A1:" & Range("A1").End(xlDown).Address).Select
Selection.Copy
'actually 'move' to second sheet
Worksheets("Sheet2").Select 'use name of sheet to move to
Range("B1").Select ' where you wish to put it
ActiveSheet.Paste
'sort on single column, no header
Selection.Sort Key1:=Range("B1"), Order1:=xlAscending, Header:=xlGuess, _
OrderCustom:=1, MatchCase:=False, Orientation:=xlTopToBottom, _
DataOption1:=xlSortNormal
'or
'sort on single column, no header
' Selection.Sort Key1:=Range("B1"), Order1:=xlAscending, Header:=xlGuess, _
' OrderCustom:=1, MatchCase:=False, Orientation:=xlTopToBottom, _
' DataOption1:=xlSortNormal
End Sub