It depends on what types of link you’re trying to do and also the character.
I agree with Scheater5 - too many times do I see people in challenge mode attempting to get a link and they are mashing each button 50 times. The game doesn’t respond well to that. What links require are well timed presses of the button. As eightballah said above, if you’re trying to link a LP > MP, try going from the LP to the MP at different speeds. If your opponent blocks, then you need to either do it earlier or later.
I, too, am struggling with links, but that’s why I am currently spending 80% of my time in challenge and Training Room. And once you have those links, practice them until you can do them in your sleep. Don’t go out and try them immediately on Live, you will probably wiff them and get discouraged. Good luck, man.