For any of the following steps you will need to have Keychain access.app opened, you can easily do so by using "Command+Space" and typing the name.
To keeps things organized I suggest creating a separate keychain for your certificate. You can create one by rightclicking somewhere in the list of keychains on the lefthandside of the application. It is not necessary to have a password, but you have to insist a bit, because macOs will refuse the first time.
I created one called "JaspByJoris" and this is what it looks like with the certificate already in it:
Now we will actually create the certificate. First select you above created keychain and then choose "Certificate assistant -> Create a certificate" from the mainmenu.
Make sure to specify the key is for "Code Signing" and create it.
To sure this in JASP be sure to start from an empty buildfolder, this to avoid any previous codesigning failures that might prevent R from running.
Then set the LOCAL_CODESIGN_IDENTITY in your environment somewhere, somehow.
My suggestion is using the "Project Settings: Environment" tab under "Projects" in qtcreator:
This will make sure the correct certificate is used during building, but it will also disable hardened runtime because that breaks the build with this kind of certificate