I'm not quite sure what you mean with "linking roles to entities", but I don't think that's the way to go.
If you're new to Mendix, I advise to follow some learning paths to get to know the platform.
Chapter 9 of the "Become a Rapid Developer" learning path seems particularly relevant for your question:
https://academy.mendix.com/link/modules/96/lectures/787/9.1-Introduction