I'm not quite sure how this is done. That option is not available in Create Mode - but only from the Ship Design list and even then I'm not sure if the strat is being assigned to the selected ship or in general. Does it depend upon Ship Type? In which case do you set the strat by ship type instead of for individual designs?
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'There are old space jockies and bold space jockies but there ain't no old, bold space jockies'
In the design window, click on one of your ship designs, and toggle the button at the bottom right ("Ship/Strategy", or somesuch). You will see a dropdown list where you can change the strategy for that ship design.
All ships of that particular design will get the same strategy.
If you want ships of the same design with different strategies, just copy the design, give it a new name, and change the strategy. However, you can only change the strategy after you complete the design and get back to the "design" window.