There are two ways to create associations, Guided Setup and Association Manager.
Guided Setup combines many configuration tasks into an automated interface. Guided Setup is recommended for your initial CC-SG configuration. Once you have completed Guided Setup, you can always edit your configurations individually. See Configuring CC-SG with Guided Setup.
Association Manager allows you to work only with associations, and does not automate any configuration tasks. You can use Association Manager to edit your Associations after using Guided Setup, too. See Adding, Editing, and Deleting Categories and Elements.