Be sure to read: Standard and Contextual Menus (http://softimage.wiki.avid.com/sdkdocs/cus_menus.htm)
XSI doesn't currently have a specific Wizard for creating Custom Menus. However both the Command Wizard and the Custom Property wizards include the ability to generate a Custom Menu as part of the generated code. This can be a fast way to get started.
The Custom Property wizard generates a custom menu that uses a callback to execute script code, without the need for a custom command.
The Custom Command wizard generates a custom menu that connects to the custom command.
However it is also important to note that the wizards only show the basics of custom menu support - to have multiple menu items, disable menu items, use submenus, etc etc you will have to get your hands dirty in the Menu API.
XSI v5.0 includes menu examples in the SDK example workgroup, including SimpleMenu, the XSIGame and the Import/Export example. However for additional inspiration and education you should also look at the Factory self-installed plug-ins that add menus to the Plug-in Manager and Script Editor. The code can be found here inside your Softimage installation: