You have to "create" a roster first. Options ---> Roster ---> Create Roster. You then have to pick a base, most likely just choose the Official 2K Roster, since there's not much out there. It should then bring you into the screen where you can edit your roster. Hitting "L1" and "R1" should cycle through teams, while "L2" and "R2" will cycle through the different sections (Roter, Rotations, Coaching Options, Playbooks, etc).

When you're done, hitting "circle" should pop up a screen asking if you wanna save and share, save, exit without saving or cancel. Save and share puts it in the vault for all to download, while "save" will keep it on your system for yourself. Note that you can save and share whenever you want, by loading the roster up (Options ---> Roster ---> Edit Roster) and backing out again. Every time you load the roster, and back out, it pops up the same save screen. Exit without saving is self explanatory, and cancel obviously will bring you back to the roster you're editing if you hit it the "circle" button by mistake, or you wanna make more changes.

To use the roster, while you're at the team select screen, just hit the "triangle" button and load it up. Your roster should be at the very top.