Links consist of simple line or curve segments and the easiest way I can think of making a link look hollow is by outlining it using a DropShadowEffect:

link.StrokeThickness = 6;
link.Stroke = Brushes.White;
link.Effect = new DropShadowEffect
{
	BlurRadius = 7,
	Color = Colors.Blue,
	ShadowDepth = 0,
	Opacity = 1
}; 

Another option is to override the DiagramLink.UpdateVisuals method and draw thinner foreground segments over thicker background ones, so that only the outer part of the background remains visible.

Setting arrowhead shapes looks like this:

link.BaseShape = ArrowHeads.Quill;
link.BaseShapeSize = 20;
link.HeadShape = ArrowHeads.CenteredCircle;
link.HeadShapeSize = 12; 

I hope that helps,
Stoyan