You make your highlights on a physical Kindle or Kindle app as usual, and then go to https://read.amazon.com, select the book that you want to import the highlights for and right click to import them.

There are other services available that will take your oauth login details for your Amazon account and spin up something like Selenium on their end to scrape all of https://read.amazon.com after logging in on your behalf, which is a bit more like what you're describing (it's not instant, but scheduled), but in my experience this sacrifices a lot of flexibility (deciding which books you want to import highlights for) and reduces the quality of the content in your data store over time. The other downside of this approach is that you need to reauthorize the service every couple of weeks or so.