This code is not tested, but at least should give you an inspiration on how to solve your issue.

collect_links.js

// Save this as a seperate file & execute it before the second file
// It will collect all the links and store them in a file
module.exports = {
  'Collect all the links': function (test) {
    test.open('http://google.com')
        // load all the links
        .execute(function () {
          var links = document.getElementsByTagName('a');
          var data = [];
          for (var i = 0; i <= links.length; i++) {
            data.push({href: links[i].href});
          }
          this.data('links', JSON.stringify(data));
        })
        // abuse `log.message` to save the file
        .log.message(function () {
           var data = test.data('links');
           var fs = require('fs');
           fs.writeFileSync('links.json', data);
           return data;
         })
        .done();
  }
};

link_executor.js

// Save this as a seperate file & execute it after the first file has been executed
// Basically like so: `dalek collect_links.js && dalek link_executor.js`
module.exports = {
  'Check all the links': function (test) {
    var fs = require('fs');
    var raw = fs.readFileSync('links.json');
    var links = JSON.parse(raw);
  
    // generate url checking tests for all links
    links.forEach(function (link) {
      // first, open starting page
      test.open('http://google.com');
      // click the link
      test.click('a[href="' + link.href + '"]')
      // check the result
      test.assert.url.to.contain('url_shoudl_contain_this_part', 'Works for link ' + link.href);
    });
  
    test.done();
  }
};