Not sure what you mean inefficient, but my guess is 'no'.
The kernel handles all the symlinks, gnumake just does an open() and it gets the file. Any user level app doesn't care (well, rarely cares) about whether it's a symlink or not, it just gets the file.
The extra levels of symlinks the kernel needs to go through are insignificant vs. the time to compile and write/flush cache to disk.