It's not supported anymore. However, the functionality is still there.
To set a master password, create a shortcut in the shortcut editor (tied to / ctrl for example) that uses the change masterpassword command. That'll bring up the dialog so you can set you master password.
Then, if you want to use the master password to protect your passwords, under [Security Prefs] in operaprefs.ini in the preferences folder (see help -> about Opera Mail for the location), add/set Use Paranoid Mailpassword=1.
To set the master password lifetime, add Password Lifetime=number_of_minutes under Security Prefs.
You can add opera:config back if you don't feel like editing the file.
Now, even with all of that, I forget if Opera Mail will pop up the dialog asking you to type in your master password. Since it's no longer supported, it might not. You'll have to test.
Now, if you need to unset the master password, first set Use Paranoid Mailpassword=0, start Opera (or restart Opera is doing it via opera:config) and then close Opera. That'll decrypt wand.dat. Then, you can clear the master password by deleting opcert6.dat.