To add new features to JMP, you can write the scripts and compile files to create an add-in. One way to compile the scripts is to use Add-In Builder as described in Compile Add-Ins with the JMP Add-In Builder in the Scripting Guide.
Add-In Builder provides a menu editor that enables you to create menu items in the Add-Ins menu. You can also use the JMP Menu Editor to create menu items and add toolbar buttons for an add-in.