You need a few materials to craft a jetpack, and you also have to unlock a few perks. Power Armor Torsos are the specific type of piece that you can upgrade with a jetpack. Once there, you can craft new upgrades for your power armor, including jetpacks.
Travel to a Power Armor Station and interact with it you can find a Power Armor Station at the Red Rocket Truck Stop that you encounter shortly after leaving Vault 111.
