How to link two attributes from two different entities in a many to many relationship

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I have an entities called menu and item with many to many relationship. im supposed to create a menu , create an item and then link the item to a specific menu .  However i cant seem to do that with the reference set selector because of the error "path should contain at least one step". any idea how the linking between item to specific menu can be done? is there an easier way? thanks in advance!
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