Can someone let me know how to proceed with setting up payroll when the state of Texas said we are exempt from SUI?

You'll want to exempt your business and employee from SUI, @pastorjeff.

Let's start with your business setup:

1. Go to the Gear icon, and then select Payroll Settings. 
2. From your [State] tax, select Edit ✎.
3. Leave the SUI account number blank.
4. Enter your SUI rate: 0.00%
5. If applicable, select any tagalong or surcharge rates: 0.00%
6. Tap OK, and then click Done.

Once done, follow the steps below for your employees:

1. Select Payroll at the left pane, then pick Employees.
2. Choose your first employee from your employee list, and then click Edit Employee.
3. From What are [Employee’s] Withholdings?, tap Edit ✎.
4. From the Tax Exemptions section, pick SUI and any applicable SUI tagalong or surcharge taxes.
5. Hit Save, and then select Done.

You can repeat the instructions above for each employee. If you need to be FUTA exempt or set up SUI reimbursable, refer to this article: Set up federal and state unemployment insurance for churches and nonprofits.

I'm adding this guide to help you generate reports closer look at your employee's total wages, deductions, and tax information in a certain period: Run payroll reports.

Do you have any other questions about your payroll taxes? I'll be around to answer any questions you may have. Have a great day!