In 0.4.15, you can't.
This is fixed in the next version, where you can set loop start point with shift-right click. Unfortunately it hasn't been released yet but there's a release candidate 0.9.90 which you can download here: https://sourceforge.net/projects/lmms/f ... ms/0.9.90/
Or you can get the latest source code from github and compile LMMS yourself...