If you would like that the shipping address is different than the invoice address, then in step '3. Shipping', press the 'Add New Address' button.
This will trigger a pop-up where you can fill in the information about the new shipping address.
Once the required fields are filled in (first name, last name, street, house number, zip, city, country, phone) you can press the 'Save address' button. By doing so, a new 'Customer contact' is created and selected by default for the current shipment.