Currently, QuickBooks Self-Employed (QBSE) does not offer the option to create or set up a project. These are only available for QuickBooks Online Plus, Advanced, and Accountant.
If you wish to use projects, you may consider upgrading to QuickBooks Online. After that, you can begin transferring your info from QuickBooks Self-Employed to QBO. Please turn to this source for a complete list of steps: Switch from QBSE to QuickBooks Online.
I've also added these articles to guide you use projects in QuickBooks Online: