Parallelize downloads across hostnames & Serve static content from a cookieless domain

Pingdom and other speed testing tools often make this, or a similar, recommendation: 

Parallelize downloads across hostnames & Serve static content from a cookieless domain

This isn't something that can be implemented with one-click, but here are some guidelines. 

To understand more about the technique of parallelizing downloads across hostnames (also called domain sharding), please read this article which explains in more detail what it is: 
https://blog.wp-rocket.me/difference-cdn-and-domain-sharding/

When you use a CDN it takes care of this recommendation, but you should only incur that extra cost if you have a global audience for your website. Otherwise it's not worth it.

If you want to do it without a CDN, it's possible if you follow these steps. 

1
First set up a couple of subdomains (via your hosting cPanel). 
2
Specify your root domain as the only one to use cookies. This means that your subdomains will be cookieless.
You do that in wp-config.php:  https://codex.wordpress.org/Editing_wp-config.php#Set_Cookie_Domain
3
After you've created your subdomains, you can use the CDN option in WP Rocket to choose which kind of assets (images, JS, CSS) should be served from which subdomain.

For more detailed information about each step, you may find this article helpful:
https://www.reginaldchan.net/serving-static-content-from-cookieless-subdomain/