At least in the older versions of VMware Fusion I'm familiar with and the one I have handy (Fusion 12.1.2 running on macOS Catalina):

For each step where you need to create a macOS VM and and have already got the "Install macOS [version].app" file using the previous instructions:

• Click on the + button above the list of VMs and choose New. This brings up a sheet with "Select the Installation Method".
• Go to your Applications folder and drag the "Install macOS [version].app" application onto the rectangle in the above sheet which says "Install from disc or image". [This is what I meant by "Point it to the installer application".]
• The application should be accepted and appear in a revised sheet which now says "Create a New Virtual Machine"
• Click Continue.
• Customize settings if necessary (e.g. you may want more storage).
• Click Finish to proceed with creating the VM.

I didn't take it any further as I don't actually want to create another VM at the moment, but from memory the next part is the VM starts up into the macOS installer, which it mounts from the disk image inside the application.

One problem you might run into is if you managed to download a "stub only" version of the installer, which is a potential issue with the installers for macOS High Sierra and later where Apple split the download into two stages.

If you run into that problem, you may need to use the createinstallmedia command line tool inside the stub installer to create a bootable installer on another volume, then use that to set up the VM instead of using the application directly.