The file that shows the greeting when logged is in /modules/mod_sclogin/tmpl/logout.php. Around line 26, you'll see the following which displays the greeting:
echo '<div class="sclogin-greeting">' . JText::sprintf('MOD_SCLOGIN_WELCOME', $name) . '</div>';
You can create a template override for this file and just put a link around the text to something like the following:
echo '<div class="sclogin-greeting"><a href="'.JRoute::_('index.php?option=com_community&view=profile').'">' . JText::sprintf('MOD_SCLOGIN_WELCOME', $name) . '</a></div>';
This puts a link around the whole "Welcome USER_NAME", so if you want to break it up to just be on the user's name, you will have to modify the above more.
-Melissa