Create the MIDlet project.
Right click on the project and go to 'Properties'.
. Go to Category -> Build -> Signing.
Enable the 'Sign Destribution' check-box.
Select proper Keystore file (.ks extention)
Select Alias
You can also Export Key into Java ME SDK/Platform/Emulator.
Press 'OK' to complete
Build the project, it will sign your midlet at runtime.