Creating a site map, or Navigation Menu for your site is very important. Sometimes you will not know immediately what your sitemap is, or you may not have created all your pages. If not, it is recommended to take some time to set up your pages, and then refer back to this tutorial to create your Navigation Menu.
You can read more on creating WordPress menu items from WordPress here.
Note! Each time the theme is switched it may be necessary to check this option again if the theme is activated for the first time. Many users are confused why their menu disappears or changes when they switch themes. The solution is simple, just activate one of the menus for the desired location.