Organize shared files with me in OneDrive for Business

Hi, my co-workers share a lot of files with me to look at and i am looking for a way to better organize all the Shared files with me. 

I know the OneDrive page on office.com has the tab for "Shared with me" but i would like to copy a link to these files in a separate folder of my own choice in the explorer for example. So far i have not been able to copy links to these files to other folders.

To sync folders is no problem, but i am looking for a solution for single files. 

Is there a way to do this? Thanks!