Ok, I see now. Iwas put off by the warning when I first created the Category tag in the page.
Second, add the category tag to a profile
If you are confident about the above, start creating the category by simply adding the category tag for it to a profile page, e.g. [[Category:Whatever Category]]
You will see a red "Category 'Whatever It Is' does not exist" warning when you save the profile. If you are intentionally creating the new category click the "SAVE ANYWAY" button.
After saving the profile, the new category will appear in red on the profile, like this: Categories: Whatever Category. The red indicates that the category page does not exist.
Third, create the category page
Click on the red link to open the new category page, for example Category:Whatever Category.
It will say "This page does not exist."
Click on the "[edit]" link. Once you add text and save it, the page will exist.
Thanks.