In short, a "cross-link" is just a link from one article to another on your site.
For example, let's say we have an article on "Meditation." You would link the word "meditation" in this article to another item on your blog about meditation... I recommend adding 2-3 of these to each post (space them evenly throughout the post).
If there is one article on your site that you feel is the best one on a topic - always link to that one. The more links you have to a single piece, the more critical it will be to search engines.
Here's how to do it.
In the post edit window:
Highlight the text that you want to link
Click the "link" button at the top of the editor (This will open the Insert/edit link box)
Click on "Link to existing content" and type the word in the search box that you want to link (This can be a word or phrase) - this will bring up a list of articles from your site to which you might like to connect.
Click on the Article Title that you want to link.
The URL and Title at the top will be auto-filled for you.
Click Add Link / Update to insert the link into your post.