The following steps can be done by going to Design › Edit Theme › General › Header › Mega Menu.
The Mega Menu can be enabled/disabled by turning the toggle switch on/off for the field titled Mega menu.
Controlling number of columns and headings inside the Mega Menu
Number of columns can be set in the same place where you enabled the Mega Menua at Design › Edit Theme › General › Header › Mega Menu. Once you have set the number of columns, you can then custom set the menu headings (directly underneath Number of columns).
The menu lists that will show in the Mega Menu are created by going to Design > Navigation in your eCom back office. Here you will create custom menus for each list.

Important! The custom menus must be titled to match Mega Menu # exactly (e.g Mega Menu 1, Mega Menu 2, etc.). See image above.
Below is a table that shows the corresponding Menu positions. You can have up to 8 lists and you will need to choose the menu numbers that meet the amount of columns you have selected for your Mega Menu settings.
COLUMN 1 | COLUMN 2 | COLUMN 3 | COLUMN 4 |
Mega menu 1 | Mega menu 2 | Mega menu 3 | Mega menu 4 |
Mega menu 5 | Mega menu 6 | Mega menu 7 | Mega menu 8 |
Here is an example where we used a 4-column layout and had two stacked menus in the second column to help balance it all visually. Notice the mega menu numbers that we used and how they correspond to the table above: