From the Library menu, go to New:
Select any of your color libraries that will serve as layout for the new library, and click Open from the buttons down the window:
A small window will pop-up, with an empty field to name it:
You can include as many colors from other libraries as you like, selecting and dragging them to the new space. When the color is in the new space, this will become highlighted, and then you must click the key ⌘(mac) or ctrl(pc) so that it stays.
Colors from opened designs can also become part of the new library. Just select them with the color picker, and they will show on the bottom right part of the window.Then drag it as explained before.
One last option to include colors in a library is selecting them from the colorations color patches on the left, or from the channels separations, and proceed with the dragging.