Before you start the setup make sure you know your ID and password for the account, and have you phone handy to receive verification code messages.
On your PS4 got to Settings > PS network/account management > Account Information > Security > 2-Step Verification > Set Up Now. Add you mobile number and click Add. Type in the code you receive as a text on your phone and click Activate.
Wright down the backup code for future reference in case of sign in problems. Settings> PS Network/Account Management > Account Information > Security > Two Step Verification > Backup Code.
You'll use the 2-Step Verification next time you'll need to Sing into your account, if you'd like to test it, sign out from your PS4. To sign back in type in your ID and password. You'll get a text on your phone with the verification code. Enter it in and click Sign in.