Pre-requisite:
In the Key Editor set up the correct scale with the correct root note.
Enable the pitch filter (upper left corner on the screenshot)
To create a harmony:
- select the desired note events
- copy them to above or below the original events
For a harmony of the third degree copy the notes two pitches above the original ones.
Done.
This is an alternative method to the one from @kamedin, which might work better if you are working the Key Editor already.