Definitions are held in libraries. The libraries are held in the Definitions folder of the schema designer. When the schema designer is installed, it creates one library called "Custom definitions". You can use this if you like to try things out, but it's probably a good idea to create a separate library for each data area you are working on.
From the Definitions folder, use the New Library button to create a new definition library. Give it a suitable name. When the library has been created, click on the library name to open the library. You're now ready to start creating data definitions.
You can see the types of data definition that you can create by clicking on the New button.