You can skip this section, if you are familiar with using JMeter, or if you want to refer to the JMeter documentation: https://jmeter.apache.org/usermanual/jmeter_proxy_step_by_step.html.
You will need to create a test plan to record the JMeter scripts. You can create a test plan either by
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Using the JMeter HTTP(S) Test Script Recorder to automatically record the HTTP requests, or
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Using Fiddler (or any other web debugging proxy tool) to get the HTTP requests and then manually adding the HTTP requests to JMeter
