How do I set up apple card savings account

It is a feature of Apple Cash, not Apple Card and it is not available yet. See the information in Apple Card will let users grow Daily Cash rewards while saving for the future - Apple including the following:

In the coming months, Apple Card users will be able to open the new high-yield Savings account and have their Daily Cash automatically deposited into it — with no fees, no minimum deposits, and no minimum balance requirements.2 Soon, users can spend, send, and save Daily Cash directly from Wallet.