Put traces on the solder mask layer.
Mask is inverted by default, so any positive shape present on that layer is an opening in the mask.
Note that, if you ever move the (copper) traces, you have to move the soldermask objects as well. It may be easier to simply set the soldermask property of the trace(s) (but, you can't generate a segmented or striped pattern, like shown; that has to be drawn by hand).
Speaking of PCB things, if you want to make those spark gaps (under the CM choke) as well, I'd suggest making that as a separate component and footprint, then put one in parallel with each side of the choke. It'll be constructed in exactly the same way: some copper shapes, soldermask opening, PCB cutout, and pads to connect to the nets.
Tim