In the "Text link" or "Link wrapper" modules it should be possible to select a file from the Wordpress Media. In my case, I am creating a list of documents available for download and, for each of them, I have to open a separate tab on WP, go to the media section, upload the file, copy the URL and then go back to Breakdance and paste the link. I think it is necessary to be able to open the Media window from Breakdance to do all this process, as you already are doing when selecting an image or background.