You can follow this guide on adding a Power Button to your Raspberry Pi. It shows how to do it on an RPi 3 model, but you can do exactly the same on the RPi Zero, as their pinout is the same.
The only caveat with your RPi model is the soldering. Here is a video from the Raspberry Pi Foundation on how to solder pins to your RPi Zero. And here is another guide on how to add 40-pin GPIO connector.
Edit
If the guide to add a power button is down, here is a copy of it on Wayback Machine.