This assumes you have reviewed Getting Started with IBM iKeyman.

In iKeyman, select Key Databas File > New. Select CMS as the key database type. If you don't have the CMS option in iKeyman, add the following property to ${java_install_root}/jre/lib/security/java.security.

security.provider.10=com.ibm.security.cmskeystore.CMSProvider

Give the key database a name (such as example.kdb), define the location of the key database file, and select OK. Create a password, select Stash password to a file, and select OK. In this example, a key database file named example.kdb was created.