If you're willing to settle for all Wikidata items with at least two sitelinks (roughly 11.5 million items), it can be done with five simple WDQS queries (these only return the QIDs though -- no labels):
SELECT?i{VALUES?s{2}?i wikibase:sitelinks?s}
SELECT?i{VALUES?s{3}?i wikibase:sitelinks?s}
(The sitelink counts are implicit for the above two queries and are omitted from the results to help avoid a timeout or error message.)
SELECT*{VALUES?s{4 7}?i wikibase:sitelinks?s}
SELECT*{VALUES?s{5 6}?i wikibase:sitelinks?s}
SELECT*{VALUES?s{8 9 10 [...] 398 399 400}?i wikibase:sitelinks?s}
Each of these queries ran successfully for me in about 20-30 seconds and I was able to download the full results as both a TSV and JSON file without any problems. I had no luck with my attempts to query for the 18.4 million items with only one sitelink, even when using LIMIT and OFFSET.
Hope that helps,
Tyler