For some items, I do find it simplest to include a simple tag with the project name. Something like: "NEWSLETTER: Edit hard copy." If I have three or four NEWSLETTER NAs, they all go together on my list so I can crunch through them. It's not a true context, but it's sort of a mini "when I feel like dealing with the newsletter" context.
Much more important to sort NAs by context, but for some projects it's useful to have a simple project tag also.
Agree that the bulk of the "linking" is done in your weekly review. I don't find it helpful to have a hard system that requires me to link the NA to a project. (For one thing, not every NA is associated with a project. Sometimes an NA is just an NA.)