Sign in to the your Wordpress account, mouse over your account, then select the option "My WordPress.com Account";
Select the menu option "Security", then click on the security option "Two-Step Authentication";
In order to use Fido when logging in to WordPress we must first have enabled Two-Step Authentication.
If Two-Step Authentication has not yet been enabled, you will first need to enable it using either an authentication app (or programmable token), or SMS authentication.

An example of how to enable two-step authentication using an authentication app or programmable token can be found here;
Once Two-Step Authentication has been enabled we will be able to add our Fido2 key as an authentication method by clicking on the "Register key" button (see example below);

After clicking on the button insert you Fido key into an available USB port, then at the prompt "Give the security key a name", provide a suitable name for you key then click
;

You will then be asked to select where to save the passkey, select "Security key";

You will be asked to touch the button on your key (if your model has a fingerprint reader you may be asked to provide a finger swipe instead);

Next you will asked to touch the key;

Provided you press the button on the Fido2 key in the allowed time, the passkey details will be stored on your Fido2 key, and you will be presented with the following confirmation;

You Fido key is now ready to be used as an authentication method when logging in to your WordPress account.