Is there any way to keep links from the closed sites, so they can redirect to the migrated questions?
See here for the migration of the recently-closed sites.
The problem is with links on external sites, so not to have them pointing to a dead site.
When it comes to theoreticalphysics.SE, we used a script providing trackbacks to arXiv (a repository of scientific preprints) whenever we quoted an article there, see http://meta.theoreticalphysics.stackexchange.com/questions/227/arxiv-trackbacks-working. We have sent 478 links and it will be embarrassing if there are all dead.