Unlike some older versions of Jira, you can create new components directly on the page in more recent Jira editions. You can do this by going through the following steps:

1. Browse to the Components tab for the project.
2. Enter a unique name for the component. Jira will let you know whether the name is already taken.
3. Enter a short description for the new component.
4. Select a user to be the lead of the component. Just start typing and Jira will prompt you with options that meet the criteria.
5. Select the default assignee option for the component.
6. Click on Add to create the new component.

Once you have created the new component, it will be added to the list of existing components. When a component is first created, it will be placed at the top of the list. If you refresh the page, the list will then be ordered alphabetically.