In order to create an external (shared) lookup table, select File → New → Other...

Expand the CloverDX → Other item and select the Lookup table item.

After that, the New lookup table wizard opens. In this wizard, you need to select the desired lookup table type, define it and confirm. You also need to select the file name of the lookup table within the lookup folder. After clicking Finish, your external (shared) lookup table has been created.

See Types of Lookup Tables or particular lookup table type.