Thisis very simple.
On Prime 4 You push LOOP button above the pads.
Than make a loop (can be done for example by using loop encoder)
Push an empty (dark/unlit) pad to save the loop on that pad.
NOTE: Pushing the LOOP button second time will enter auto loop length mode - each pad different length of the loop.
Also I can add, that, the loops that You save in Engine prime, also will be available on the Prime 4 in the same place (LOOP button above the pads), if You export the songs with saved loops in them.