How do I create a runnable class in D365FO?

Create a class with a static main() method.

internal final class MyRunnableClass
{
    public static void main(Args _args)
    {
        info('Hello from X++.');
    }
}

Build it, then run the class from Visual Studio using the normal runnable/startup-object workflow for your development environment.

Runnable classes are one of the quickest ways to test a piece of X++ without building a form, menu item, or batch framework around it.