You can use Find/Replace to do this. Open the Find dialog from the Search menu, check the "grep" box at the bottom which allows you to use regular expressions, and use these patterns to start. The first find https:// followed by the characters that are commonly found in URLs. The second replaces that with an anchor tag with the found text \0 used twice.
Find: https?://[a-zA-Z0-9/:\?&%=._\-+]+
Replace: <a href="\0" target="_blank">\0</a>
Find the first entry and if it needs replacing choose Replace and Find Next or simply Find Next if it doesn't need replacing. Or, if you don't have any links that are already formatted in the document you can do Replace All. I have key shortcuts assigned to these so I can quickly work through a document.
The Pattern Playground on the Search menu is useful for playing around with the find/replace patterns as well.
Hope this helps,
[fletcher]