To create a new source you can go to the Knowledge page and either create a new data set or click the "Sources" tab and create a new source separately.
If you haven't created anything yet, you can start with creating a data set. It will let you create a source in the same flow. When creating a new source, you will be prompted to select which type you want to create.
When creating a data set, you can either create new sources or use existing ones.
Listed below are the source types currently available.