Hi Ken,
When you create a new component, go to the last Submenue 'Component Wizard'. Here you must enter the name of your component (default = untitled) and in which group it should appear (default = 'User Logic'). Next time you start SOPC builder the component is present. A double click adds this component to your CPU. You can edit your component with right click on the original component name in user group. After you made changes, you cannot update your parts previously added to the CPU. You have to delete these and re-add them again.
Hope this solves your problem.
Mike