Create a form with an email address input field at a minimum (first name and last name are optional). The message should say something like 'Please submit your email address and we will send you an email message to confirm your preference to opt out.'
Then create a confirmation email message based on the form that includes a link within the body (not just in the footer). The message should say something like 'We’re sorry to lose you. Please confirm your preference by clicking here.' This is where you can place the Act-On opt-out link. The link can be inserted using the Inject Personalization Field button within the rich text editor during the message creation process.