Go to Stock>Products
Open the Product Record
Click on the TAX Code dropdown list
Choose Exempt from the list
Save
If the items have not been made into a stock product yet, you can still update them in:
Go to Publications>Catalogs
Open the Catalog
Search and open the Item Code
Click on TAX Code
Choose Exempt from the list
Save
You can also do this en masse to several items at once in the Publications or Product Grid Manager if the items you want to change have something in common that you can filter on, eg attribute or start with the same manufacturer code