If you look here: http://en.wikipedia.org/wiki/Stack_Overflow
You'll notice there's a little "Content" section, if you click on one of the links, it will send you to a specific section on the page.
How do I do this in GitHub wiki? With Markdown or whatever they use?
It is nicely demonstrated in the Table of Contents of the Markdown Cheatsheet.
##### Table of Contents
[Headers](#headers)
[Emphasis](#emphasis)
...snip...
<a name="headers"/>
## Headers
If you hover over a Header in a GitHub Markdown file, you'll see a little link sample to the left of it, you can also use that link. The format for that link is <project URL#<header name>. The <header name> must be all lower case.