What is the best way to customize the login form (customize the message and add a link)?

The logon form created by the plugin? If so, You can style the form items and enclose the whole thing in a DIV with your text and link.

It used to be possible to provide your own form--still is, in fact, but highly discouraged since then you either have to replicate or bypass any new features we provide. For 1.4.1 this means Federated logons. For 1.4.2 it will preclude the challenge/response password reset feature.