Please follow the document to create single roles.
You can choose a single role template provided by SAP and you can create your own Z* or Y* role.
If you want add authorizations in the roles by using multiple authorization templates, you can also do that in authorization data tab in PFCG.
http://help.sap.com/saphelp_nw04/helpdata/en/52/6714b6439b11d1896f0000e8322d00/content.htm
