You can create Instagram Highlights in 2 ways:
1| From an active story: click to view the story -> click "Highlight" on the right bottom corner -> click "+" to create new Highlight -> name the Highlight -> click "add".
2| From archived stories: click on "story highlight" on your bio -> click on "+" to add, select the stories and click "next" -> click "edit cover" to choose witch story will appear as a Highlight Cover or upload a Cover-> enter a name for your Highlight ->click "add".