To create a new word list, open the Word List Manager and click on the New... button. Enter a name for your new word list and press Create. You can also select a character set for the new list, and specify its equivalent letters (for how you want words in the list to be mapped into words shown in the grid).
Your new word list will now appear in the Available Word Lists box, and it will be empty. You can type in a description of the list below the list of word lists, and press the Change Info button to store it permanently. If you want to fine-tune how punctuation is handled in the word list, use the equivalent letters and punctuation setting.
When you've made the new list you can add words to it directly, or add words from another word list.