One solution would be to allow for several links to appear within a single entry. It could have a main entry, the text of which would form the basis of its alphabetical listing, and sub-links which would automatically translate themselves into icons for things like facebook and twitter.
Having each link entry consist of a description text plus an expandable list of links is not a bad idea. It neatly handles the case of a few related links without having to go to the formality of making a folder and putting the related links inside.
Another way to achieve this would be to allow the link description text to be rich text. Then users could put sub-links into the description, as text or as images, with no additional structure needed. Or less ambitiously, auto-linkify any URLs written into a plain-text description.
