When the game comes up on the quick game screen, where it will have a team on each side of the screen, at that point hit the right stick in any direction to get the menu to come up. From there, go to 'Manage Roster', and from there go to 'Create a Player'.
When you get done creating your player, it will ask if you want to assign him to a team. You pick what team you want him on, and it will do the rest.
To save your roster, just go through the menu (I forget which one its under), but there's one that lets you save and load stuff. You can save rosters (or anything else) from there.