After logged in, I do the following (as per Apple site)
Navigate to My Apple ID using your web browser.
Click "Manage your account"
When prompted, sign in using your Apple ID and password.
Click Password & Security
You'll be asked to answer 2 of your 3 security questions before you can make any modifications. If you are unable to remember your answers, you can choose to send an email to your rescue email to reset your security questions.
Note: The option to send an email to reset your security questions and answers will not be available if a rescue email address is not provided. You will need to contact iTunes Store support in order to do so.
After you've validated your identity by correctly answering your security questions, click Edit to the right of your rescue email address.
Once you've finished editing your rescue email address, click the Save button directly below the email field.
But I don't see any link/button for the rescue email. Does anyone have any idea how to add rescue email address?
Here is a browser screen shot showing the "Security" section with neither a "Notification" nor "Rescue" email section: