This way MkDocs will be able to report errors for broken links

Done with:

perl -0777 -i -pe \
's@(?<!!)\[([^\]]*)\]\((?!https?://)(?!mailto:)(/(?:(?:(?:/(?![\)#]))|[^/)#])(?!.md))+)/?(#[^)]*)?\)@[$1]($2.md$3)@gm' \
`find . -name '*.md'`