Start by dragging and dropping the dimensions and metrics you wish to use into one of the boxes on your dashboard. The built-in search tool lets you easily find the elements you're looking for.
You may also go from "common" elements to "custom" elements if you wish to use, for example, metrics, analyses or segments specific to a particular site. Simply select the desired site in the drop-down list in order to display its custom elements.
Give your data set a name, then finalise the creation of your data set by saving it.
Tip: if you apply an element that's specific to a site, you may not use other elements specific to another site in your data set.