To set up the Membership feature on your app and website, select the 'features' button and press the blue 'manage' button to access the feature library. Press the 'add' button to add the membership feature. You can then customize the feature name or icon. Go to the 'Membership module' navigation panel to access the membership settings where you can configure options like force login/sign up. Save your changes by pressing the blue 'Save' button.