Is there a way to know where a halacha in SA is referenced in the MT, and vice versa, without going back to the Gemara to look on the margins?

And for that matter, what about a cross reference of the SA, the MT, and the Gemara?

The MT is not going to reference the SA for obious reasons. I do believe that R. Yoseph Qafah's 25-volume MT with commentary indicates where the Rambam referenced the Talmud and Tanakh, but it's rather pricey and difficult to get.

Generally, each book has its own cross references. (For Shemmy: Obviously these cross-references will not have been written by the author of the work.)

The "Baer Hagolah" in the top corner of the SA cites the sources including the Rambam... But that is only when he cites the Rambam...

The Tur is more geared towards this than the SA.....

Indeed. Specifically the Beit Yoseph.
If you want to trace something back, you can go to the Be'er Ha-golah that KR mentioned, but if you want to see the stops along the way then the Beit Yoseph is your man.

As for cross referencing, there's a small booklet published by Feldheim that I find incredibly useful called Madrich Le-taryag Mitzvot. It basically lists the mitzvot in alphabetical order from ale"ph to ta"v.
[av ve-eim, lo legalot eirvat aviyv...terumat ha-deshen, le-hasir ha-deshen me-al ha-mizbeiach] and lists the Mitzvah number, and then lists the 613 mitzvot in the Chinuch's order, giving the source in both the Rambam and the Shulchan Aruch for each [obviously mitzvot not in SA aren't cross referenced].

So basically to find where in the Rambam something is that's in Shulchan Aruch, you can use this little book to find the mitzvah, and then it will tell you where in the Rambam it is, or alternatively look in the Beit Yoseph and more often than not the Rambam will be referenced. Don't forget that the author of the Shulchan Aruch is the author of the Beit Yoseph and in turn is the author of a Rambam commentary, so the Shulchan Aruch tends to parallel the Rambam.

Another suggestion is just to ask on h.com.

The Frankel Rambam has a cross-references box on the margin, which eliminates all the back-tracking.