In addition to adding Products and Labor Items from scratch, you can also add Misc. Items to a Project via the [New] button. See here for details on Misc. Items.
When you add a new Product or a Labor Item in a Project, depending on your settings it may not automatically update to your Catalog for future use. There is a Project Setting to determine this behavior.
You can also choose at any time to update your Catalog with the new Item via the Update to Catalog feature.