This depends on which flow and which back-end tool. If you are using Expedition then you will need to create a new Central Library, we provide a sample library in the install which you may use as a starter. If you are on the netlist flow to PADS, Expedition or a third party backend tool then you can create a new Folder and store symbols in the folder, then point to the library from Setup - Settings - Symbol Libraries. You may partition the symbols into different categories if you want to. For example create a folder called Resistors and the browse to this from Setup - Settings - Symbol Libraries, make the connection writable. This will create a Sym folder under the Resistors folder and new symbols will be stored in this sub folder. If you have existing symbol files they may be copied to the Sym Folder and will be seen by DxDesigner.
If you are on Maintenance I suggest you look on SupportNet for this kind of information and also in the on-line help.