Are you adding them to your blogroll via the "Add to Blogroll" option on your admin bar? Then the links will always go to the blog which is set as your primary blog; this is under Users somewhere, I believe and if you didn't set it, it's the first one you registered. You can change it and hit Update (Megan, maybe this is your problem?), but if you want to put some links on one blogroll and some on a different one, it's annoying to switch back all the time. Just add them via Manage->Links and then they will always go into the right blog, because you have to be on that blog's dashboard to do it.