Thorough answer:
Create a Google Cloud Project: https://console.cloud.google.com/welcome
Set up the OAuth Screen: https://console.cloud.google.com/auth/overview
Add yourself as a Test User: https://console.cloud.google.com/auth/audience (scroll down)
Copy your Project ID: See the Homepage of your Project or see this link.
Go back to your Google Sheet Script
Go to Settings: https://script.google.com/home/projects/\[SOME_LONG_STRING\]/settings
Add your Project ID under "Google Cloud Platform (GCP) project"
Try running a function in Google Sheet Script -> this will trigger the OAuth screen
See your logs here: https://console.cloud.google.com/logs/query