DKIM records are added to your DNS as a TXT record and Return-Path records are added as CNAME records. Usually your DNS is managed by your hosting provider, so you would want to head there to add these records. This is not always the case, however. If you are using a DNS provider, such as DNSimple, you would need to add your DKIM and Return-Path records there instead of with your hosting provider.
Below are some links to instructions on adding DNS records for common hosts and DNS providers. If you use a different hosting or DNS provider that you feel should be included here, let us know at email@example.com.