If you have already created the fields and is trying to change from list to hierarchy, delete them, in setup go to schema settings and enable Manage list custom settings type. Re-create the custom settings and its fields.

Note: Use custom settings to create and manage custom data at the organization, profile, and user levels. Custom settings data is stored in the application cache. This means you can access it efficiently, without the cost of repeated queries. Custom settings data can be used by formula fields, Visualforce, Apex, and the Web Services API.

If you're thinking of using list custom settings, consider using custom metadata types instead. Unlike list custom settings, you can migrate the records of custom metadata types using packages or Metadata API tools. You can enable List Custom Settings on the Schema Settings page in Setup.