Alberto,
You have two options for custom CSS files, as shown in your screen shot.
If you're modifying a theme, you would use the top box ("Theme Files"), specify one or more CSS files. Then you could put a different CSS file (with the same filename) in each theme folder and tweak each theme individually.
If you just want something that applies to the website regardless of what theme you're using, then use the custom.css file in the bottom box in your screen shot. That will live in the web/styles folder and will apply to all themes.
Jane