Kind of works.
As a bonus, you can copy the full URLs of the links in clipboard.
To do so:
1. start the lasso by dragging a box while pressing right mouse button
2. then keep pressed the CTRL key
3. finaly expand the box to include the links you want to copy
4. and release the mouse button and the keyboard
The target URLs are now in the clipboard, in the form
http://www.google.com/
http://wikipedia.com/

It's possible to apply the same trick with the Alt key, to bypass the link filtering.