At this point, if you drop a file in Anytype it gets saved in Anytype. If you just want to link a file to Anytype you can use [Hook](https://hookproductivity.com). Hook makes a link to the file in your finder and you can paste this link into an Anytype document. Perhaps in the future upon dropping a file on a document, you can choose either a linked reference or dropping the file into Anytype.
In the meantime Hook is a great app that makes these links and it can make them all in markdown format. I have no commercial ties to the company, but I am a satisfied user. The developer is very responsive. Highly recommended.