Good question and not at all easy to figure out. The icon really confused me because I expected them to be "built-in". Here are some instructions from Microsoft:

1) From the Diagram toolbar click Layout -> AutoLayout (to turn it off)
2) Shift+Click to select each segment of the cycle diagram
3) Draw -> Change AutoShape -> Block Arrows -> Change Shape to Circular Arrow
4) Select each shape individually and use the adjustment handles (yellow diamonds) to adjust the length of width of segments as needed.

It takes practice and patience!