Depends on what you want to happen when one gets deleted. If you want the other to survive use hard links, if you want the deletion to apply to both use soft links and delete the real one, although you'll be left with a link to something that no longer exists.
From the moniker I suppose you're using MacOS to which this applies, also Linux, BSD and the many (mainly big-iron) Unices. MS-Windows FAT and NTFS filesystems are largely outside my experience, but if they claim POSIX compliance they should behave the same way.
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