You’ve gotten lots of good information, I just wanted to give the quick answer to your original question.
Unlike some home automation hubs such as vera, there is unfortunately no way in the SmartThings mobile app to set up a zwave association between two devices.
For Z wave classic devices, most people just use the minimote. If you shop around you can find one for about $20. You can use it as a handheld button remote for every day tasks and it has a separate set of admin buttons that you can use to create an association between 2 zwave classic devices. It works fine and the process is quite simple (assuming of course that both of the devices support Association). This is discussed in the thread at the link that @anon36505037 gave you.
For Z wave plus devices or any zwave classic devices where you need to make the association in a group other than Association group one, then you have to do it with custom code, which is what @zcapr17 was offering to help you with.
So you can definitely set up association in a smart things system, but it’s not as easy as just checking two boxes in the mobile app.
All of that said, while direct association should give you the quickest response for Z wave devices, 1 to 2 seconds would be considered a pretty typical response rate for Z wave devices in a SmartThings network. The latency depends in part on what exact devices you’re using. For example, if one of the devices is a battery operated motion sensor, it may only sample for motion every 30 seconds.
We should also note that when you do use direct Association, the status may not be updated to the SmartThings mobile app immediately since you are by definition bypassing the hub when the command is sent. That won’t matter for some use cases, but might for others, so it’s just something to be aware of.
What specific brand and model of devices are you associating?