Go to Bitfinex
Log in or create a new account on https://www.bitfinex.com.
Follow to API page
Hover the mouse over the profile icon on the top right corner, then click API:
Click "Create New Key."
Set the permissions to match the screenshot below:
Name your key and click "Generate API Key"
When you have multiple APIs, a proper name helps to manage it:
Confirm with 2FA
If you don't have 2FA on Bitfinex, skip this.
Confirm with email
Open the email from Bitfinex and confirm: