How can we set up an efficient Link building for a website ?

Thanks for this question, I believe we need more info about building a website

It depends what kind of website you have. According to the industry and market you are targeting, you can plan your link building campaign. It might be a quest posts, articles on your blog or social media, broken link building, content marketing, etc. 

I believe that you should focus on the content of your website and then signpost links to your social media channels to increase your traffic and improve homogeneity within all your SM and website content