Select a category on the left and choose a command from the right. Click into the "Press new shortcut key" field and then actually press the key combination you're looking to use.
Check the key combination's availability below the "Current keys" box.
If it's listed as unassigned, you have one you can use without consequence.
If it lists something else, that combination is currently in use and you can either find something else that's unassigned or go ahead and assign that one anyway. Keep in mind that whatever was already used will no longer have that shortcut, so make sure it's not something you may need in the future.
When you have something you're ready to use, verify that Normal is selected in the "Save in" field (so that it's available in all of your documents) and then click Assign.
There you have it. Keyboard shortcuts done just the way you like them!
~ April