Grade items and grade categories are created in the Manage Grades tool. From the course homepage choose Assessment => Grades, to access Manage Grades.
Items hold grade data (scores) for students. The most common item type is Numeric, where students are scored out of a certain number of points.
Categories are containers for items. Grade categories have slightly different functionality depending on whether the course uses Points or Weighted grading, and it makes it easy to manage and organize multiple items.
A video overview of the Manage Grade tool is available here:
Documentation for the grades tool is available from D2L here: Create and delete grade categories and items