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Disk Utility.app (should be in your /Applications/Utility/) then File -> New -> Blank Disk Image.

From Apple Help:

Creating a blank disk image for storage

You can use Disk Utility to create a blank disk image to store files. Normally, you need to gather all the files you want to be included into a single location before you create a disk image. However, with a blank disk image, you can add files to the image at any time.

To create a blank disk image:


Choose File > New > Blank Disk Image.


Type a name for the disk image, and choose where you want to save it from the pop-up menu.


In Volume name, enter the name for the volume that appears on your desktop when you double-click the disk image.


Choose the size of the disk image from the Volume Size pop-up menu.


To require a password to open the disk image, choose an encryption scheme from Encryption.


Choose “Single partition - Apple Partition Map” from the Partitions pop-up menu.


Choose “sparse bundle disk image” from the Image Format pop-up menu.


Click Create.
 
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