It's currently not implemented, you need to do it through your instance's website (ie: /create_community)
Communities are similar to subreddits, but they reside on your home instance. The community can only be created on the instance you're part of (in this situation lemmy.world), and users from any federated instance can subscribe/join that community. Therefore, there can be multiple communities with the same name, each hosted on their own instance.
Keep in mind that creating a community is the easy part, the tough part is to keep it active and alive :)