This is in Salesforce Classic. See this image for what we mean by Name -> Setup. There is certainly a dropdown menu under the name of the logged in user, and it has a setup link.
We would always welcome pull requests and donations if you’d like to make the instructions more clear.
Thanks for the reply!
Hm that’s not what my Classic looks like, see this image.
Under ‘My Settings’ there is nothing relevant, and under the Setup link to the right I can create a custom app but nothing about oAuth settings.
Maybe my Salesforce user is not a developer type?
I think that’s possible, but I can’t say for sure. One thing I noticed is that some time ago we had a person submit some documentation for the Lightning instructions. You can see that in the GitHub documentation for now, until it gets into the next release of the plugin.
If you do have the right permissions hopefully that will help, but otherwise I think your best bet is to find out what your permission level is.