Location Markers can be create at any position in a session.
To create a location marker using the Location Marker ruler at the top of the Timeline right click anywhere on the ruler and select New location marker, to move the marker to the current Playhead location right click on the new marker and select Move Mark to Playhead
See section on Working with the Range & Marks for how to create a Location Mark at the current playhead location.
To create a Location Marker at the current playhead location press Enter on the numeric keypad.
To create a Location Marker at the current playhead location select the Transport pulldown menu then Markers then select Add Mark from Playhead.
To create a Location Marker at a specific location in the Timeline, set the playhead to the desired location and press Enter on the numeric keypad.
Alternatively, a mark can be set to a specific location by using the Ranges & Marks tab, using either the PH button to move a mark to the current playhead location or the clock to set a specific location manually.