Click on Configuration the left hand side of the screen.
Click on Product settings and then Manage Variation Sets.
Click on "Add Variation Set" on the right hand side of the screen.
Type in the name of the Variation Set and trick the boxes next the to Variations you want to put into the Attribute sets then press "Submit".
If the field was filled in correctly, congratulations you have successfully added a Attribute Set . If the field was not filled in you will get a error message and will need to fill it in before pressing "Submit" again.