You can do that in three different areas:
Term Tags
• Go to the "Term Tags" page (from the left menu, under Manage click Tags)
• Click the "Add New Tag" button (top right)
• Enter the tag name, select a tag color
• Select the URLs you would like to tag terms from (move it to the lower box), and click "Next Step"
• Move the terms you want to include in this tag, to the lower box and click "Save."
At the URL View (for terms of the same URL)
• Click the checkboxes near the terms
• Click the tag icon at the bottom of the table
• Select an existing tag, or add a new tag, and click "Save."
At the URL View (for terms of multiple URLs)
• Click the checkboxes near the terms you want to tag
• At the Bulk Actions drop-down (top-left corner above the results table) select "Tag terms"
• Select an existing tag, or add a new tag, and click "Save."