It depends:-)
The following is assuming you are using qmake based projects:
First you can add DEFINES += SOME_DEFINE=value into your .pro file. That is picked up inside creator and when building on the command line and should also show up when creating a MSVC or XCode project from the .pro file.
Then you can add DEFINES += SOME_DEFINE=value to the qmake call that Qt Creator will issue when configuring the project. That happens in the Project Mode, Build Settings, QMake Steps.
Finally, you can put #define SOME_DEFINE value liens into a header file and include that. That works for all kinds of projects:-)