It's as easy as selecting the "Create New User Commentary" or "Create New User Book" items on the User menu. Then just tell it what you want it called, and that's it.
For books, there is an "add new entry" button in the book viewer, along with an "edit entry" button, which you use to create and edit your entries.
For commentaries, there are "edit" links for your user commentaries next to verses in the Bible view.
The help file and PDF manual both have a section called "Creating Your Own Material" which I would recommend reading, as it takes you through the steps with screenshots.
Currently there are three help topics of interest also available on the website (these are straight from the help file):