These instructions are for XCode 6.4 (since I couldn't find the update for the recent versions even this was a bit outdated)
a) Part on the developers' website:
Sign in into: https://developer.apple.com/
Member Center
Certificates, Identifiers & Profiles
Certificates>All
Click "+" to add, and then follow the instructions. You will need to open "Keychain Access.app", there under "Keychain Access" menu > "Certificate Assistant>", choose "Request a Certificate From a Certificate Authority" etc.
b) XCode part:
After all, you need to go to XCode, and open XCode>Preferences..., choose your Apple ID > View Details... > click that rounded arrow to update as well as "+" to check for iOS Distribution or iOS Developer Signing Identities.