Once you have created a new shipping rule, you will need to add shipping rates for each region you want to ship to. By default, two shipping regions are provided, the US and International (currently this only includes Canada). You can add countries you wish to define custom rates for using the Add New Country button.

To create a new shipping rate, hit the Add shipping rate button.

Shipping rates have the following fields:
You will need to define which type of shipping each rate represents, such as Standard, Expedited, Priority, or Overnight Delivery. This will be shown to users at checkout.
The expected shipping window will appear during checkout. Be sure this is accurate so customers are not disappointed. It is better to surprise a customer with a package delivered sooner than expected than having them wonder if their order was lost in transit.
The price/weight range determines what products this shipping rate will apply to. The range will either be defined by weight or price, depending on what type of shipping rule you are adding the shipping rate to. This field is optional and will default to cover all prices/weights. In a single country, each shipping rule of a single type (e.g. Standard or Priority) must cover a different price/weight range. You can have shipping rules of different types that cover overlapping ranges.
This is the shipping price that customers will be charged to ship products this rate applies to. The price can be set as a fixed number (Ex: $9.95) or as a ratio of purchase price (Ex: 7%).
You can apply additional fees to certain regions. As with Shipping Price, you can add a fixed cost or a ratio of purchase price. This will be added to the base Shipping Price. The name field can be anything to help you remember what the adjustment is for, and the code should be a state abbreviation. For example, you can add an adjustment for Hawaii to add $5 to the Shipping Price by using the code HI. Once you have entered an adjustment, press the + icon to add it to the shipping rate.

In order to use a shipping rule, you will need to add a rate with no maximum weight/price bound for each shipping option you provide. If you have not fulfilled this requirement, the above warning about will be visible.
Once you have added your shipping rates, you are ready to apply your shipping rule to products. Check out this article for instructions on how to do so.