Each account will have 1 main wallet created for each asset by default.
To create additional wallets, click the Create New Wallet button in the upper right corner of the My Wallets page. You can have a maximum of 3 wallets for each currency. Optionally, you can create wallets from the trading page.
Clicking this button will open a new panel that will ask you which currency you wish to create a wallet for. You will also be asked to name the wallet in order to differentiate from the ones that previously exist.
Checking 'Make this default wallet" will make this the default wallet for that currency.