Creating the Custom Field
Open the Project Menu by clicking on the Open Sidebar in the upper right of your screen, and expand the Custom fields section:
Select Manage task custom fields:
And Add a new custom field:
Proceed by selecting Dropdown as the custom field type to allow people to choose only from predefined options:
Give your custom field a Name, Description as well as Options.
You can even add it to your Custom Fields Library to have it available on other projects, too!
For more info on that feature please follow this link.
After clicking on Create Field, your new custom field will be visible on the project custom fields list with the Library field indicating it has been added to your Library.
Assigning a priority to a task
All the tasks in that project will now have the custom field available with the options previously set up:
You can even assign the priority directly from the tasks overview, eliminating the need to go into every single task to update its custom field.
Simply change the Layout to Table view and add the Priority custom field you have created as a visible field (column).
Now you can designate a priority directly from the table view!
You can even group the tasks by your custom field!
Select Group and find the Priority custom field: