To create a new item, select Create→Miscellaneous→DataAsset

And select HEItemData as the base class.

On the DA, you can set different things, such as the name, icon, description, and a set of properties to tweak the item behaviour and inventory actions.

Items can grant an AbilitySet on use to the player. Ability sets are another type of DataAsset in which you can specify Abilities and Effects that are applied when the item is used.

Check DA_AbilitySet_GreenHerb as a reference.