To start a project, navigate to a dataset page you're interested in working with. If you have data access to this dataset, the Add to project button will be red.
In the modal, choose the project you'd like to add it to below, or click the New project button to start a new project from scratch.
Give your new project a name by clicking Untitled project in the middle of the black menu bar and naming it whatever you'd like.
Projects automatically save continually as you make changes and will continue to run in the background if you close the window. You can navigate back to this project later from the Projects tab of your workspace.