In the Cloud SWG portal, navigate to Policy > Content Filtering
You can choose to edit an existing rule or Add Rule.
To set up, Application control uses the Destination and Content and Limits section at a minimum but you can add other fields too.
In the Destination, section click on Add Destinations.
Choose Web Application and choose the application from the list on the left pane. The list is quite large so you can use the search bar to find the application you want.
After you have found the desired application click on the ">" button and then hit Save.
The next Step is to click on Content and Limits and click on Actions.
Once again search to locate the action you require for the rule.