Search for a value you want to tag, expand an event with that field value, look for the field you want to add a tag to, click the down-triangle to the right in the Actions column and select Edit Tags. That'll let you enter a tag for this field value.
After tagging you can then search by using
You can edit and add more tags through the Settings as well by going into the Tags section.
See http://docs.splunk.com/Documentation/Splunk/6.1.3/Knowledge/Abouttagsandaliases for documentation on tagging your data.