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Create a new NSG: In the Azure portal, navigate to the Network Security Groups and click on the "Add" button to create a new NSG.

Attach NSG to the Application Gateway subnet: Once the NSG has been created, navigate to the subnet where your WAF v2 Application Gateway is deployed and attach the NSG to that subnet.

Create Inbound Security Rules: Create inbound security rules in the NSG to allow traffic to reach the Application Gateway.

Create Outbound Security Rules: Create outbound security rules in the NSG to allow traffic to leave the Application Gateway.

Test the configuration: Once the NSG rules have been configured, test the connectivity to the Application Gateway to ensure that the NSG is working as expected.

Monitor NSG logs: Monitor the NSG logs to identify any potential security threats and take necessary actions to mitigate them.

Modify NSG rules as needed: Depending on the application requirements, you may need to modify the NSG rules to allow or block certain traffic. Continuously monitor and modify the NSG rules as needed.