Sitelinks are something that google will apply when it decides your site qualifies for them. They generally only apply to the number one authority site for a certain search term. So you can't expect them to come up for every single one of your serp listings, just the ones google wants to rank you number one for.
Deep linking should help but you also need to ensure that google bot can navigate your site well. There will no doubt be people with more SEO knowledge than me who can suggest other factors that will help.
Site links are something of a holy grail to people doing the SEO for a site.
You can see if google has assigned you any in your webmaster tools.
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