This is over a year old but since I still had trouble finding out how to setup my game play tags I wanted to share. I used the following to setup mine: How do I use the FGameplayTagContainer and Tag Editor? - Programming & Scripting - Unreal Engine Forums
As Dave Ratti says you need to set [GameplayTags] ImportTagsFromConfig=true in your DefaultEngine.ini and then you can add gameplay tags in the editor by Edit → Project Settings → GameplayTags. After setting ImportTagsFromConfig=true it shows up right underneath description as the second item in the list.