Links Manager Custom Write Panel

Start with Function Reference/add_meta_box, including the reading and references at the end.

I ended up going in a different direction to achieve what I wanted. I put:
jQuery("a[href*=#title]").addClass('heading');
in the head to find all the links going to #title, then add the class I wanted. Success!

If you want even more features check out the LinkPress module for wordpress at LinkPress.org