Under User CP, and Edit Signature. Then, on the base, your sig can only be 3 lines long. And that's 3 lines of text, in the editor. Pretty small, if you ask me, but, you work with what you get.
Other than that, its basically the same as making a regular post. You can put links, images, colored fonts, all that good stuff.
Once you're satisfied with it, click Save Signature.
Now, if you have already done that and you're sitting there like "yeah, I know that much. Thanks for nothing you patronizing jerk", the only thing I can say is to wait. When I first entered mine, it didn't show up for a few posts. So, post a few more times, and it might just eventually start showing up. :shrug: It's like the servers need time to... idk, catch up.
OH, maybe, somehow, you have the 'Show your signature' option turned off. On quick reply, its at the bottom right. On the advanced reply, its down under additional options. Make sure the box is checked.
EDIT: Fuuuu, I type slow (and too much). I hit reply when there was no others yet, and by the time I submitted it, everyone had already answered. Oh well.