That is more applicable to BSD style systems. On Debian, what you would want to edit is the directory of symlinks (eg /etc/rc*.d). Since Debian's runlevels differentiate from other Linux distros, what you would want to do is to just symlink a program/script in its respective directory, which is what the update-rc.d utility takes care of.
The only time you would want to physically create symlinks in a run-level directory (this is on Debian) would be if you are running a self-made script that doesn't "exit(0);", or if you have a two-part script that you wrote, or some jerkoff that doesn't know what he is doing wrote (a launcher and a closer.) The /etc/rc*.d directories all point to an executable file in /etc/init.d, so if you are symlinking, make sure you have the script/program in that directory, or a symlink in that directory (/etc/init.d) to where your executable is.
This is all good and dandy, but if you are a noob, save yourself the headache and just use update-rc.d, especially if you are adding daemons, or other compiled binaries.