To add individual categories to your items navigate to the feeds tab and click the 'Categories' step for the desired feed.
1) Categories page
When you are on the categories tab you will instantly see the option to add a category. Alternatively, in the bottom left corner you'll find 'Add category'.
2) Adding categories
Click on the 'Add category' button. You will now be shown how to create categories with 'if field', 'filter', 'value' and 'set to category'. You can use the drop down menu's to choose fields, decide whether you will categories on exact matches or contains and then the appropriate value.
What you can do here is filter on the value of a field, for example: if 'categories' contains 'shoe' then assign category 'Apparel & Accessories > Shoes'. This will assign this category to all items that match this filter.
Don't forget to click 'Save categories', if you don't: all will be lost. When you have saved the changes, on the right hand side of the screen the percentage of items allocated to a category will appear, as well as the number of items with and without categories. To see which items have not yet been set to categories click 'without categories' and they will appear in a new screen. Ideally, you should aim for a 100% of items with categories.
The next step is to add rules, see this page for more information.