To set up a mailing list, you need to go to Segmented Lists in Account Engagement in Account Engagement Email.

In the new form, there are two names, "Name" is for internal use and "Label" is for external use. Make sure you're saving the list somewhere that makes sense via the "Folder" field.

Finally, the preferences page can be found in the same area, under the Preferences Page tab. We'll eventually have more than one page, but this page contains all lists for subscribing.