Right click the link, then select "copy link." Then paste into Notepad, change .eu to .org, cut and paste that into your browser window.
I wish there was a simple way to change them all. There actually is via SQL query, but it wouldn't necessary restrict itself to just links. I'd rather not take the chance of an unwise runaway SQL query.
I may rework the .EU site in the near future to forward almost all links to the current forum (except top level page so I can tell people we moved) and that should help.
But in the end there are more things coming down the pike that may supersede all.