Making new items and sets with Asset Manager

In short, what it says on the title. How do I create a new set with Asset Manager?
I tried to find instructions but couldn’t find anything

Asset Manager can only create the item definitions, if you want new textures, effects, etc you need other tools.

As to what AM can do, look at

that is a custom item set, so pretty much exactly what you are looking for. You should be able to learn everything relevant from it.