Update: Seems to be up everywhere else too.
You can find it under Settings>PlayStation Network/Account Management>Account Information>Security>2-Step Verification
Note: I'm running 4.0 beta 3, so I can't be sure if it's available to everyone running the old firmware.
Should be able to set it up here as well: https://www.playstation.com/en-us/account-security/2-step-verification/
For PS3 and Vita you have to go to http://idp.sn/device-password to generate a password.
You can find it under Settings>PlayStation Network/Account Management>Account Information>Security>2-Step Verification
Note: I'm running 4.0 beta 3, so I can't be sure if it's available to everyone running the old firmware.
Should be able to set it up here as well: https://www.playstation.com/en-us/account-security/2-step-verification/
For PS3 and Vita you have to go to http://idp.sn/device-password to generate a password.