You can create it in the right-click menu (Custom Footstep Effect):

This is a UObject blueprint object

In the properties panel on the right, you can edit the default configuration type, display name, category, description, and more.

This object has three overloaded methods:

• Spawn Foot Step Effect: This function is what you're most interested in; it executes when the effect is triggered.
• Initialize: Initialization function (probably not needed).
• Get Display Name Suffix: The content displayed in the Data Asset Editor (in yellow text).

Once you've finished editing, you'll be able to add it here: