The general consensous is that Wikidata is the best thing to link to as it links together all the possible locale variants for articles on Wikipeida.

Whenever I encounter an entity on MusicBrainz I will replace the Wikipedia URL with the Wikidata one; but so far this has been through natural progression (e.g. I check the work if its on a page that I'm on).

I could see a report being made which could reveal any entity (release, release-group, work, artist etc.) that has a *.wikipedia.org URL being useful as myself and other contributers could do the necessary leg work to find the item on Wikidata and update as necessary.