Write the set you want in the Pokemon Showdown format (Smogon), then copy it to clipboard, go on PKHeX, select "Tools", then "Showdown" and "Import set from clipboard" and it will be added automatically.
This is an example of the format in which to have the Pokemon:
Tapu Lele @ Choice Specs
Ability: Psychic Surge
EVs: 252 SpA / 4 SpD / 252 Spe
Timid Nature
- Psychic
- Moonblast
- Psyshock
- Hidden Power Fire