To create a packaged data source (.tdsx file) in Tableau, you would right-click on the data connection in the Data pane and select the option to add it to saved data sources. This action packages the data source with the metadata that you've defined in Tableau, such as calculations, groups, and sets, so that you can easily share it with others. This does not package the data itself, which is a separate step if you're working with local file-based data.