1) Start a new part. Right click on the Material and select Edit material from the pop up menu.
2) Select any material from the list and click on Create/Edit Material.
3) Click on arrow next to Solidworks material and select new material database.
4) Save you database a name and at a specified location or Solidworks default Location. I have used My_mat07 as my database/library name.
5) Add material classification and name. I have used My_Mat as material classification and XYZ as material name.
6) Add visual properties.
7) Start editing / filling in the properties by double clicking in the value cell. You can get these properties from various website over internet or material handbooks.
8 ) Set the cross hatch for the material and click on OK when you are done.
9) Great you just have made you own material database. You can see you new material in the list.