First you need to create a credential.

This will typically map to a domain account.

Next you create a proxy account and you link this to the credential you just created.

You also need to specify a subsystem for which the proxy will be active. For example: if you want the proxy to execute SSIS packages in a job step, you add the SSIS subsystem.

Finally, when you create a job step, you can specify the proxy account from the Run As dropdown.

This job step will now run under the credentials of the proxy account.