To set the Security Classification for a task open the task in edit mode (double-click) and click the lock button on the lower right (1). This will display the Security Classification Picker.
Click on the classification you want to assign for this task. Keep in mind that the task stays on screen until the list is reloaded. After reload it will only be displayed if you have the appropriate clearance.
You can set a default security level for tasks for each project. Please follow the steps in the Using Collection Defaults section.