You can try this code (if you don't want to add hiperlinks manually):
Code:
Sub shNames()
Dim Wks
For Each Wks In ThisWorkbook.Worksheets
Range("A65536").End(xlUp).Offset(1, 0).Select
ActiveSheet.Hyperlinks.Add Anchor:=Selection, Address:="", _
SubAddress:=Wks.Name & "!A1", TextToDisplay:=Wks.Name
Next Wks
End Sub