"Project" > "What" tab/view : You can create one or more task lists in the "What" tab/view of a project.
To create a task list, click on the "+" button located to the right of all task lists: the "New task list" field appears.
Type a name for your task list and click on the "+" button in the field in which you are typing or hit the "Enter" key on your keyboard.
You can also organize task lists as you want by selecting a list and moving it.
Note: To rename, duplicate, or delete a task list, see the dedicated article.