Sony adds Two-Factor Authentication to PlayStation Network
You can do this by going to the Playstation Store on the web, and clicking the following:
Account Settings>Go to the Account Tab and select Security>Scroll down and click on "For 2-Step Verification, please visit this page". You will then be prompted to turn on 2FA and add a mobile phone number. You can also do this from your PS4 by going to Settings>PSN Account Management>Account Information>Security>2-Step Verification.