I found out, the I even can add symlinks to the package/data folder. That works fine and they are copied as symlinks to my destination-folder. No need to create them separately.
But there is a problem, the symlinks are counted with the full file-size of the file, where they are pointing to.
So - for example - my installer will tell me 'This component will occupy approximately 100 MB', where the real size would be 50 MB only.