Keystore is created using JDK's keytool command (OpenSSL can be used as well). First keystore is required for Web3Signer, second for client (such as Teku or curl). Pay special attention to specify CN for the client keystore/certificate as it is required by knownClients file in Web3Signer.
keytool -genkeypair -keystore web3signer_keystore.p12 -storetype PKCS12 -storepass MY_PASSWORD -alias SOME_ALIAS \
-keyalg RSA -keysize 2048 -validity 700 -dname "CN=localhost, OU=PegaSys, O=ConsenSys, L=Brisbane, ST=QLD, C=AU" \
-ext san=dns:localhost,ip:127.0.0.1