Use the selection tool to drag a selection. Then press Shift+P to set a loop at this selection. Use P only to create a loop selection which is grid aligned.
The same works for selected events: select one or many events on one or many tracks and press Shift+P or P.
if you want that a loop follows automaticly your selection, use the option Ctrl+Alt+P [Loop Follows Selection] (You find this option by Mouse Right Click under the timeline)
You can also quickly zoom to a created loop using Shift+L or zooming into a selection with Shift+S. Just press z to undo the zoom and go back to the previous view.
Tip: Use Num1 and Num2 to set the play cursor to the beginning or end of a loop. With Num/ you can disable/enable a loop.
The "Transport menue" will show you all the shortcuts.Tip: The menue "View/Zoom" is also helpful.
Try it out!