You need a data column for the phase, subgroup, and data. Like this:
Then select Analyze > Quality and Process > Control Chart > Levey Jennings Control Chart. Assign the data columns to the appropriate analysis role. Like this:
(Note: this chart can be made interactively with Control Chart Builder instead of using a dialog, so you can pick your preferred method.)
You should get this result in Control Chart Builder when you click OK:
(Note: You can apply limits or sigma from an external source instead of JMP computing the limits from the data in the plot, which is generally the case for these charts, after the CCB opens using interactive commands.)