Actually, what you have done so far is great! well done!
You had some syntax errors in the JS snippet that I've fixed for you now. So the classic feature box items are now linking to the designated links, however, if you want to make the image only to be clickable, you just need to change the selector from:
so your first line of code should be:
$(".feature-box-1 img").wrap('<a href="http://selfhelpafrica.org/link-1/" />');
and do the same for other items.