Click "Tactics" and select your desired tactic

Name your new geography list something descriptive. Recommended to include if the list is a target or block and the geo selected

Select to Inclusion List to target the geo or Exclusion List to block the geography.

Select the "Add List to Library" field to add this list to your library for quicker selection on future tactics

In the filter dropdown select the level of geography you want to add

All
Custom Lists
Standard
Country
State / Region
DMA
City
Postal Code

Adding Geography Targeting to Tactic