Hello there, @csoffice.

Thank you for getting back to us here in the Community and verifying the steps about linking the check to the bill in QuickBooks Desktop.

Yes, you're correct. You need to create a bill first to record the payment. After that, you can follow the steps provided by my colleague, Alessandra_B to record the payment linking the check you've modified to close the bill. 

Please stay in touch once you've tried the steps above. I'll be happy to help you further. Have a great week ahead.