In the "Settings" tab, click on "General" you will be taken to the Custom Attributes screen. Click "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.