There are two ways you can create a new category on your blog.
On the right had side of your screen when writing you can enter a new category name.
You can go to the categories list and click Add New.
Select Blogs From Your Dashboard
To get to your blog section select Blogs from your dashboard. This will take you to a list of your recent blog posts.
To manage your categories click the Categories link at the top right of the screen.
That will take you to a view of all of your existing categories. If you don't have any you can create them from here.
Editing A Category
Click edit under an existing category to change the information or start writing new information on the left.
The Public Name of the category
The text that will display in the URL.
If you want this to be a subcategory of another category you can do that here.
An internal description for you to remember the category by.
This is similar to what you see in the the Page Builder. If anyone visits a category link directly this information will display as the Page Header.