From any of the dropdown lists (also known as a picklist) click on the arrow in the drop down box and click on <New/Edit>. 

At the top of the new window, type in the new choice you want to add and click on the Disk (save) icon to the right of the field. You can edit any of the existing choices by clicking on the Pencil & Paper (edit) icon to the right of the item. You can only delete a choice if it is not already in use. Click Close to see the new choices available.