Both, templates and template links are created within the same page (Templates).
If you would like to set up a Template Link instead, all you need to do is select it at the top of the "New Template" page and you are all set.
Here's a quick video tutorial giving an overview of how to set up a template or a template link.
The first step to creating a new template is clicking the "+" button that appears when hovering your cursor over the lefthand Templates link. If you are currently on the Dashboard page, you can also choose "New Template" from the top right Quick Actions menu.
Once you have been redirected to the New Template page, there is a number of options you can set for your template. These options are shown in the video above and also discussed throughout the following articles.
When you access your Templates dashboard, the labels marked in the screenshot below will indicate if you are working with a regular template or a template link: