In addition to what theducks posted while I was typing...
If you right-click on the Styles folder in the Book Browser, you will be given the options of:
"Add existing file"
-- which is what you want if you have a pre-existing stylesheet (myfirstbook.css) that you just want to import into your ePub.
or "Add blank stylesheet"
-- which appears to be what's happening to you if you end up with a file named "Style0001.css."
Either way, when you have a file in that Styles folder, the link needs to point to that exact
file name (case sensitive). If the file is named "myfirstbook.css" then the code to add to the head section of your html should be:
<link href="../Styles/myfirstbook.css" rel="stylesheet" type="text/css" />
If it's named "Style0001.css" then:
<link href="../Styles/Style0001.css" rel="stylesheet" type="text/css" />
If you think you have it right and it still doesn't seem to be working, make sure you save the epub and close Sigil, and then open it back up again before you assume "it didn't work." Some of that CSS stuff doesn't always seem to take effect immediately and you could end up chasing your own tail if you don't restart just to make sure it "took."