In your Categories Widget view, in the Category list module, at the end right after
[/category.list]
you could add this code:
<ul><li><a href="http://www.yoursite.com/sale-items/">On Sale</a></li></ul>
It's not perfect but it will get the job done. I'm not sure if your theme is easy to use with the built in WP menu system but the WP Menu system is how I added the sale items link to my main menu.
Eric