The considerations for setting up DKIM using the new method (increased security) as compared to the old method (public-private keys) are as follows:
For the steps in creating DKIM keys in Salesforce, see Create a DKIM Key.
Unable to Activate the DKIM keys in Salesforce
Considerations for Creating DKIM Keys - see information about rotations and multiple DKIM key pairs
Salesforce Support YouTube video:
How to Setup DKIM Key
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