SPF records is a way to tell the world which mailservers are allowed to send mail on your domain's behalf.
Should you get a warning that you should set an SPF record in order to improve deliverability when scheduling a send, then you can ignore this. Do put it on your TODO list to fix it for future sends, though! ;-)
Sender Policy Framework (SPF) is an email validation system designed to prevent email spam by detecting email spoofing, a common vulnerability, by verifying sender IP addresses. SPF allows administrators to specify which hosts are allowed to send mail from a given domain by creating a specific SPF record (or TXT record) in the Domain Name System (DNS). Mail exchangers use the DNS to check that mail from a given domain is being sent by a host sanctioned by that domain's administrators.
To change the SPF record for your domain differs depending on the tools that your domain use (cpanel, etc). The absolute easiest way is to first find out which tool your domain use to administer DNS records and then accompany your search with "SPF". The documentation on the topic out there is plentiful.
In general an SPF record will look something like the following:
v=spf1 a mx include:sendcastle.com ~all
The above tells Internet Service Providers that you are using sendcastle.com to send your mail, but don't be too strict about it (~all).
The "include:sendcastle.com" is the important bit.
Do not just copy the above example into your SPF record, though. You likely have another mailserver (your normal one) which should be able to send mail on the domain's behalf.