I just made a Custom list on my site called expensiveList, with the columns Item (inherited, Single line of text) and expenseLink (Hyperlink).
In my workflow on my Forms list (employeeExpenseReport), when it is submitted, the workflow (in Sharepoint Designer), copies it to the employeeExpenseReportApproval Forms list, emails the approvers (using that original sytax I put up), deletes the original form in employeeExpenseReport, then uses the Create Item action to create an item in the expensiveList. The expenseLink field is filled from employeeExpenseReportApproval:Encoded Absolute URL. It's not pretty, but it returns this:
http://sharepoint2007/Template/Employee%20Expense%20Reports%20Approval/Information%20Technology_Sting_2007-10-31.xml
I had to, when I clicked thefx button, select the Source (employeeExpenseReportApproval), Field (Encoded Absolute URL), then select my employeeExpenseReportApproval:expenseReportNumber field to be related to Current Item:expenseReportNumber.
That probably didn't help at all, but it felt good typing it out.
Steve.