Creating a new layer is possible by clicking on the New Layer button at the bottom left of the dialog. Since the Layers dialog is not diagram specific but application specific, you will have to choose in which diagram the new layer must go in. To do so, at the top of the Layers dialog, select the diagram you wanted to receive the new layer and then add this new layer to the selected diagram.
The newly created layer will be placed on top of the stack and will become the current layer of the selected diagram.
Then it's possible to edit any new object of your choice, copy and paste from any other layer or diagram as you could do it in single layer diagram.