Hover over the entity border, you'll see a little round popping up.
At moment click and hold left mouse button, release on the border of the entity you want to associate it to.
Or double click the entity, select association tab and click new.
In a microflow you can set the relation in the create/change object action:
link to refguide: https://docs.mendix.com/refguide/associations
If I understand your question correctly; you want to associate 2 or * subEntity objects to 1 mainEntity object.
If that is the case, then you association between SubEntity & MainEntity should point from Sub to Main.
1 SubEntity refers one MAinEntity, One MainEntity can be refered by multiple SubEntities.