Log in to your Google Analytics account.
In Administration tab, select the right Account, Property and View.
Click Custom Dimensions, then Custom Dimensions in Property column.
Click the red button New custom dimension.
Name your dimension and click Create.
Click OK to validate.
Your new custom dimension has now an index associated.
This index must mach the index in SEOPress plugin (eg: Index 1 in GA = Custom Dimension #1 in SEOPress).
You can now create a custom report in GA with your new custom dimension.