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."

Select permissions
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:

Copy the created API keys somewhere safe
