Okay, so the project's context menu has an option to "Add Files..." and opens up the file open dialog.
Why not allow the user to open non-existent files and only commit them to the project/disk if the user saves them?
Then you'd have a quick create, a scratch pad, and be able to easily add a new empty file to your project.
Edit: I suggest using the "Add Files..." dialog to avoid cluttering the context menu with a "New File..." entry.