More on links..
you might want to make things look nicer, or at least have something to indicate the difference between convex/meshed objects and 'physics objects', you can make things look nice by applying a material, and going into the edit mode (after, view,select,object) you should see a mode selector. Then select mesh->faces->set smooth. Press ctrl-alt-numpad0 to realign a camera for rendering. Set the background color in the shading section in the materials mode. F12 to render, F3 to save the render.
You can set link's pivots and axis's. A hinge rotates about its own X axis. The Axyz are set in degrees.
Using generic constrains is a bit funny, if you want a constraint to be active, you need to click on it. (eg LinMinX) and that will stop it from allowing movement (if min and max == 0), otherwise type in the value you want to have constrainted.
For the time being, you can get a great chapter on blenders game physics here:
Unfortunately the COLLADA constraints continue to be plauged by issues, you can't export them as individually enabled/disabled, and the only physics engine that supports the COLLADA link format is Bullet.
Forces/controllers don't export to COLLADA either, so that is all lost too. *sigh*
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