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 and add an item to the agenda.  From the agenda item, select Add/Edit Role and then 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)