There's no Tools/New Snippet menu item yet, although it is on the todo list. There is such a menu item in Sublime Text 1, which the documentation will be referring to.
If you're making many snippets, then you may be better off using a .sublime-completions file, which allows many snippets to be defined within a single file. Snippets and completions work in a more or less identical way, although completions don't work with punctuation based triggers. There's some documentation on .sublime-completion files at http://sublimetext.info/docs/en/extensi ... tions.html
, and you can look at Packages/HTML/HTML.sublime-completions for an example.