Before we get started on using fixed sidebars, you need to create additional sidebars to be able to add them to your page. You can do this from Appearance > Theme Options > Misc > Create Additional Sidebars.
The logic behind fixed sidebars is that they scroll among the content height, so which ever column you add your Widgetised Sidebar element, should have the same height as its sibling columns:
Next step would be click Edit on the Column containing the Widgetised Sidebar element and check Enable Fixed Content.
As you can also see from the above screenshot, we have added sidebar class to this column. The reason is we want to have more space between this column and the content column.