I'm not sure which command you are originally referring to, but this is pretty easy to just whip up in the bundle editor (thank you, TextMate!). Create a new snippet. You can name the snippet whatever, and assign it to whatever keyboard shortcut. Just make sure to put 'text.html' in the 'Scope Selector' field. This will make sure the keyboard shortcut only activates when you are in an HTML document*.

So, here is the snippet:

<a href="$1">$TM_SELECTED_TEXT</a>

Just paste that into the bundle editor window (get rid of any extra whitespace), close the bundle editor, and baby you got a stew goin'! Highlight some text and press your keyboard shortcut to make a new anchor. The caret will be in the quotes where the $1 is.

* More correctly, it will be active when the caret is in a scope of text.html. You can check the scope at any time by using a keyboard shortcut, but I think it's disabled by default. To enable it, click the 'Filter List...' button near the bottom of the bundle editor, and click the checkbox by the bundle titled 'Bundle Development'. Once that is enabled, press control+shift+p to see a tooltip with the scope hierarchy in it. There's documentation about this stuff on the TextMate site if you are interested in learning more.