Yes.
The only way you can cross-reference between documents is, in fact, via INCLUDETEXT fields - in this case adding a bookmark reference in addition to the file reference.

To be honest, though, I haven't tried cross-referencing within a destination document between one linked document and other. Whilst I can see how the bookmarking part would work, I don't know whether creating the cross-reference would of itself create the INCLUDETEXT field that would normally be required or whether the destination document can handle that for itself. The worst-case scenario is that you'd have to create an INCLUDETEXT field in the document from which you want to deploy the cross-reference.

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Cheers,
Paul Edstein
[Fmr MS MVP - Word]