If I want, say, all [lord-of-the-rings] posts to go to my chat room, what do I do in the add feed bit? What URL do I paste there?
Looks like you figured it out, but for others' future reference:
And I think the actual creation screen is obvious enough:
The address of the feed is http://[site].stackexchange.com/feeds/tag/[tag name], e.g. https://scifi.stackexchange.com/feeds/tag/lord-of-the-rings, and can be found on the hover tag:
Note that only the room owner or a chat mod can edit the feeds for that room.