To set up your menus, go to WP Dashboard: Appearance > Menus.
Once you’re on the Menus editing screen, create a new menu and press Save Menu button. Add your pages (check the boxes and click Add to Menu) or custom links to the menu you just created in the Menu Structure area.
After the menu is created, don’t forget to assign this menu to theme location called Primary.
Social Links Menu
This is a menu where you should put custom links to your social profiles. Note that you just need to specify a link to your social page i.e. https://facebook.com/link-to-your-profile and the FB icon will be automatically recognized.
Don’t forget set a relevant location – Social Links.