To add your class on the schematic, go to the page for the nets that you have in your class. Select Place>Directives>Net Class. Hit 'Tab' when the 'net class' label is floating on the cursor, and enter your information. Now attach the class to the wire(s) for your net class.
You can also set up your net class by going to Project>Project Options>Class Generation. Check the box at the bottom of the page in the section "User-Defined Classes". Read the information that pops up when the box is checked.