That video might’ve been from an older version. Currently, you have to go the “Blocks Library” (https://your-project.admin.datocms.com/admin/blocks_library), make it there first, and then add it to the allowable blocks inside of your structured text field.
Keep in mind that there are also two (confusing) ways to use Structured Text:
Inside a Model, Structured Text fields can contain Blocks and Models
Inside a Block, Structured Text fields can only contain other Models, not nested Blocks
@Souljuse Thanks for making the new video! That will help our users too.
PS I don’t think the video or page is explicit about this, but in the new version, the blocks need to first be created in the Blocks Library before they can be added to a field. Previously (according to the old video @ross posted), there was apparently a “new block” button that lets you create new blocks right there? Not sure.