In the Settings tab, click on General, you will be taken to the Custom Attributes screen.
Click on "New Custom Attribute," name your attribute, and from the dropdown menu select the attribute type. Click "Create" and you're all set.
Pro Tip: When you are creating a new attribute for a specific segment of data, make sure that you create the new attribute first. That way when you are selecting criteria for the new segment the new attribute will populate as an option of criteria.
To edit custom attributes on a profile, click on the profile you want to edit and click on the Custom tab of the profile.
To edit the custom attribute for that profile, click on the pen icon on the upper-right-hand side of the attribute box.
Once you do so, you can start editing the custom attribute for the profile. You can click on the thumbs up icon to save your changes.