How do I conditionally wrap a React component?

Just use a variable.

var component = (
    <i className={styles.Icon}>
       {this.props.count}
    </i>
);

if (this.props.link) {
    return (
        <a href={this.props.link} className={baseClasses}>
            {component}
        </a>
    );
}

return component;

or, you can use a helper function to render the contents. JSX is code like any other. If you want to reduce duplications, use functions and variables.