To add a new option for any of the Lookups available in the console, go to the Master Data, then select Lookups and Lookups again. You will now see a full list of the Lookups available to your organizations:


Find the type of Lookup to which you would like to add more options and click on it. A list of the currently available options will show. 

To add a new option, click on the Options and then click on the New button on top of the screen:

Enter the data for the new option and don't forget to press Save on top of the screen once you are done.