In the current version of Dolphin:
Menu Button > Settings (ship's wheel) > Customize > Open links in > By default
Default will open in the page is set up to open the link into (normally the same page), other choices are Open in background tab (current tab remains the active tab), and Open in new tab.
Older versions of Dolphin had option under Labs instead of under Customize.
I find it best to stick with the default open in the same tab, but will often use a bookmarklet to force tabs to open in a new tab when I want to make sure I don't fail to use the context menu to open a link in a new tab, for which I assign a gesture written as "nt" in Dolphin, or a keyword shortcut of "nt:" in Firefox (where : is not hard to type on a keyboard).
Name: NT: New Tab
When creating the bookmarklet in Dolphin, create by replacing content of a newly created bookmarklet with the above content, typing a space instead of %20 and and suggest changing the folder to one you have created as "bookmarklets" within your bookmarks.
see my page on Dolphin Gestures