How do you do this? Where is the "voice settings menu"? Do you mean System Preferences > Dictation & Speech > Dictation? How do you "create your own commands"?
Yea that's where it should be I think.
I haven't got my Mac with me at the moment to check!
When you have the voice control enabled, there should be a folder called 'speakable items'.
From memory these a files which have the file name of the spoken command you say to the computer, and the file contents are the actions that will be performed.
I think (again from my hazy memory!) you can add your own files (commands) to this folder.
It's been a few years since I last tried it so my info may be a bit vague.
It worked ok for opening your email client of web browser and navigating around a page by saying 'up' or 'down' etc.
But the voice recognition is all done locally so it's no way near as clever as Siri.
You usually have to repeat yourself a few times or try saying commands in different tones of voice.
EDIT: Just found this...
http://www.macworld.com/article/2834532/ok-mac-using-automators-dictation-commands-new-in-yosemite.html
A tutorial showing how to use the new dictation commands in Yosemite! Looks quite customisable and hopefully recognises speech better.
Will give this a go when I get home lol!