Creating models is done in the Deep Learning Trainer panel. We can open this panel from the Analysis menu.

With the Deep Learning Training panel open we can define or rename the classes as we need them:

By default, there are 2 classes to start with a "Background" class and a "Class 1" object class. For a DL network we need to know both what the objects look like and what the background looks like. This allows us to annotate only portions of the image without needing to label every single class object on a plane. We can rename the object classes by double-clicking on the class name.

And we can add additional classes by clicking + Add Class.

Note that object classes cannot overlap, so if we want to be able to segment objects inside other objects it may be preferable to create multiple separate training for each individual object class.