One way, anyway, is to set iTunes to NOT copy things to the library, then drag the lot of files from the external into the library. On my system, this creates links to the correct locations. If you move them, however (which it sounds like is what you did?) it will then ask you to find each.
If you moved them from the library to elsewhere, you (I think) need to delete them from the library then re-add them (without copying).
I think there are also tips on other ways to do this on sites like McOSXHints.