The EFTA itself does not seek to establish one, but allows it's members to join one if they so wish.
"Whilst the EFTA is not a customs union and member states have full rights to enter into bilateral third-country trade arrangements, it does have a coordinated trade policy. As a result, its member states have jointly concluded free trade agreements with the EU and a number of other countries."
"Art. 56.3 of the EFTA Convention states that a new EFTA member state ‘shall apply to become a party to the free trade agreements between the Member States on the one hand and third states, unions of states or international organisations on the other.’ As a member of a customs union, a country acceding to EFTA could not comply with this obligation. EFTA membership does not preclude from entering into a customs arrangement with the EU; existing EFTA countries govern their relation to the EU through different instruments."