Where would I find the option to create a player?

If you are in sandbox or online mode (as commish) you can just edit an existing player.

use the menu on the left side of the screen and hit the button called search. It brings up another screen were you can edit any players in the league, free agents and upcoming draft. And you can create a player there as well with the button called create player. the player will be put in the free agent section of that screen.