On step Content, click on New Post. You can click Add Category to create your own category. Also, you can select the parent category with the 3 maximum levels.
For example: If we add "Cats" category and select parent category to "Animals", a "Cats" category will be under the "Animals" folder.
You can add new catagory when you add new post as well.
Also, you can modify a catagories page. Clicking Site -> Blog -> Select Catagory.
By Category List: Shows all your posts in the category
By Category List Setting
Fills your blog name and select catagory which you want to add in.