Presumably, you have this relationship:
Clients::__pkClientID = Addresses::_fkClientID
Though your names may be different.
Define a primary key field: __pkAddressID in Addresses. An auto-entered serial number is still the best option to use in nearly all cases.
Then define this relationship:
SalesOrder::_fkAddressID = Address|Selected::__pkAddressID where Address|Selected is the name of a new Tutorial: What are Table Occurrences? of Addresses.
Then linking your SalesOrder to a specific Address for the client becomes a matter of assigning the correct value to SalesOrder::_fkAddressID.
One way to do that is to place a portal to Addresses on your SalesOrder layout and put a button in the portal row that does this:
Set Field [ SalesOrder::_fkAddressID ; Address::__pkAddressID ]
After clicking that button, fields from Address|Selected will show the correct address data for the selected address.