When you open a lesson plan (new or edit), you'll see the Assignment Types box. There you can add your new types.
If you want this new assignment type to be available for other lesson plans, make sure the 'Add this to lesson plan' box is ticked.
A second option:
In the assignment type box next to the assignment blocks, use the box in the drop-down menu.
Any assignment types you add here will not show up on other lesson plans. If you want to use it on other lesson plans, please add it in the grading configuration tab or the Assignment Types button. (See below)
A few more things:
--Wait until you've completed the lesson plan to set up your grading configuration. It will make for a smoother setup.
--If you need to edit an assignment type, use the Assignment Types button.