Users can find Third Party Audiences on the Creating a New Ad Set page, under the Audiences section in both Lookalike and Retargeting.

To add the desired third-party audiences, click in the field for the target option of choice, then select Third-Party Segments.
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Type the name of your audience to browse, or paste the segment ID into the search bar. Hover over a segment to see the full name of the segment, segment ID, description, provider, and CPM price.

To create a custom audience from existing segments, utilize the AND function to add additional segments.

The targetable audience metrics and inventory costs on the right-hand size estimate audience size and fees.
You can continue with your Ad Setup when you have built your audience.