The preferred way to create a new page is to make a link to the new page in an existing place like this:

[[my_new_page]]

To have the pages interlinked with another you can now save this page. But if you don't want to have the link on the page but want to create a new page click on Preview and then click on the new link.

The other method would be to enter you page in the url like this:

http://www.rpgnextgen.com/wiki/doku.php?id=my_new_page