Go to the Customers page. To the leftmost side of the listed orders, you will see empty checkboxes.
Click on any of them or all (I have selected all in this case).
Press on Tag to bring up a drop-down menu containing all of your tags.
In this case, I chose ASAP and it applied it to all selected Customers.
You can add as many tags as you have saved. Take note that this will expand your individual customer lines to accommodate all of the tags. If you want to remove the tags, you either do it in mass by marking all the checkboxes and pressing on the tags again or just clicking the small X near every tag.
Your account comes with a set of default tags, but you can add more by opening the tag drop-down again and pressing +Add Tag at the bottom of the selection. This will bring up a pop-up window where you will be able to Name your tag and choose its color. Once that is done press Save.
We can now see our New Tag in the menu.
You can also find your tags inside settings. Go to Settings -> Account and scroll to the bottom until you see Tags. Here you can see all of your tags, Edit them, Add New Tag or Delete them entirely.