Roles are created in the same way that Circles are created: through a Governance Meeting or Asynchronous Proposal (for premium users).

To create a Role, open a Governance meeting. Then add an item to the agenda by typing something in the agenda field and hitting Enter.  Then select your agenda item, and select Add/Edit Role.  From the drop-down menu, select "New Role/Circle":

Give the new role a name, and consider adding purpose, accountabilities, and domains.  If you are having an official meeting, the Facilitator will take the meeting participants through the governance process.  After that you will just have to press the "Accept Proposal" button at the bottom.

Premium users can also create roles through Asynchronous Governance Proposals.  
See: How do I create an asynchronous governance proposal? (Premium)