ssh-keygen -t rsa -b 4096 -C 'Name'

Convert new OpenSSH keys to Putty format

$ cp ~/.ssh/id_rsa ~/.ssh/id_rsa-for-putty

$ ssh-keygen -p -f ~/.ssh/id_rsa-for-putty
Enter old passphrase: <your passphrase>
Enter new passphrase (empty for no passphrase): <press Enter>
Enter same passphrase again: <press Enter>