To do this, you'll need to click on the Create Column button in the Nintex Forms Designer Ribbon.
The Create Column dialog will appear, enter the name of the column, and the type. Click OK.
The new SharePoint column will appear in the Form Controls Toolbox, in the List Columns category. Now you can add it to the Nintex Forms designer as you would any other control and continue designing the form. You will need to add a Label control next to the new List Column control when it's added to the form. During Runtime, information entered into this new control will appear in the SharePoint list.