In the Theme Wizard, step 2, just checkmark the little white box next to where it says, "Start a new multi-season league (recommended for progressive leagues)". Even is it isn't a progressive I'm pretty sure that you have to check that box to be able to link to past seasons.
You should get a password. Then when you setup the league for the 2nd season and beyond you'll need to re-enter the password along with the previous League ID#.