Firstly, find out if you need to use the VPN-Hybrid feature. You can find out more about this here.

Make sure you have deep packet processing enabled in miscellaneous settings if you are going to use the VPN-Hybrid.

This guide will assume you have set up the VPN already either through the quick set up or advanced setup. 

On the device you have enabled on the VPN click the button underneath it - "Exceptions".

Select the service you want to put through as an exception.

For example:

CS:GO would select "Source Engine Games"

Streaming to Twitch would select "Streaming(rtmp)"

Watching YouTube would select "Google services including YouTube"

Once selected it will be viewable below. You can add as many exceptions to one device as you want. You can disable/delete the exception if you no longer want it. 

Congratulations! Your device is now protected by the VPN and your exception runs at full speed so there will be no extra lag.

If the exception you want to put through is not present you may be able to do this through the "Advanced" & "Host(s)" buttons instead. Click here for more information on this. [insert link once article created]

You are not able to VPN a console with an exception.