Is it a good practice to create checkbox options where the text beside each checkbox is a hyperlink? What should be done if hyperlinks are necessary?
In well formed HTML, each checkbox should have an associated
<label> tag containing the text you describe. When properly paired, the checkbox can be activated or deactivated by clicking the label text. Adding a hyperlink here would be a real problem. You can, however add an additional link separate from the label if you need to add extra information to help your user. You will occasionally see these as 'help' or 'info' icons or as passages of text that say something like 'find out more about [thing]...'.
As long as the label is not a link you can always add supplemental links elsewhere in the text.
I thought maybe I should add some citation here. So, here's a question on well formed label/input combinations on Stack Exchange and here's a page about using the label element from the W3C.
In both cases you can see that the label is linked to the input either by using the inputs id attribute or by wrapping the input inside the label.