When we close questions by saying

MathOverflow is for mathematicians to ask each other questions about their research. See Math.StackExchange to ask general questions in mathematics.

...should the link go to the Math StackExchange How to Ask page?

Many questions which get closed with that response are not good questions for Math StackExchange, because the question does not show what the poster has tried or whether they've looked for answers. Putting in the "How to Ask" link would show that even if the question has the right topic for Math StackExchange, the site has other standards for what questions are worth answering.

everyuser on Mathematics is shown How to Ask page when askingtheir first question.But showing this information more often - also to users coming from MO - might be useful. (Here is the discussion on Mathematics Meta where this was introduced. A similar feature was discussed also here on MO.) $\endgroup$