You will need some kind of 3d modelling program to first make the entities. Whether it be MilkShape, 3ds, Maya, Sketchup Pro, Etc.
First you make the model then export it to .x (Either straight to .x Direct X Format) or to 3ds then use dbConv to convert it (search the forums).
Finally you can use entity maker to make new entities that you have created.
Byt default entity maker comes with some videos and a few models already made for you to follow the videos with. But for stuff that YOU want to make you will need to either model / texture it yourself or find it online and get the author's permissions.
http://www.gamestack.org
http://onlinenotes.gamestack.org
http://onlinebookmarks.gamestack.org
