A connector is created in the same way as a ‘normal’ component. You can create connectors broadly in two ways: as a normal component with a schematic symbol that has all the symbol pins for the connector, as a component that has individual signal pin symbols for each pin of the connector, or any mix of the two

The first method restricts the placement to one ‘complete’ symbol showing all the connector pins. The second method means you can place each symbol on the schematic as required.  Mixing these approaches allows the use of blocks of connections to keep managable groups of pins together.

To assist with creating new connectors two schematic symbol libraies have already been prepared, 'Plug.ssl' and 'Skt.ssl'.  The names are self-explanatory!

When creating a component, just add the first symbol as gate 'a', then in the component editor use the 'Gates' tab to add as many more symbols as are required.  For connectors with multiple rows of connections, you can also use the 'Name Pins by Row/Column' feature on the Edit menu to use alphanumeric designators, though for this to work, any mounting holes defined in the footprint MUST be the highest numbered pads (which will normally be the case).

A connector would normally only have one PCB footprint when used in the PCB design editor but if discrete and surface mount variants, or perhaps simply different pitch options are available, you can still add extra packages to accommodate this.