Hello @Jorge, if you would like to add the sheet entries go to your schematic and: Right click on a sheet symbol -> Sheet Symbol Actions -> Synchronize Sheet Entries and Ports (see the attached screenshot)
Some time ago I discovered, that in Altium I don't have to do the connections between sheet symbols / entries and everything is still connected properly. If you like, you can use it, but I prefer the way without it. It saves me a lot of time (you don't have to draw the connections between sheet entries, and you don't have to re-draw it when you change it) and it minimize number of mistakes (I have seen mistakes done on Hierarchy level connecting wrong sheet entries or misspelling a net name).
I am not sure what do you mean by "component" in " they use some components and do connections between them
If you would like to experiment, have a look at our iMX6 Rex
project and download the Altium files.