How do I create a new mailing list?

Can you be more specific on what your objective is? We don't provide a mailing list feature per se. The only emails generated in JotForm are:

1. Notifications (the emails you receive as the owner)

2. Autoresponders (the emails your customers receive)

Both emails are triggered after form submission.

Related guide: Explanation-of-Email-Notification-and-Autoresponder-Settings 

In case we misunderstood your question, just get back to us with a bit more info and a clearer description of what you're trying to do so we can better assist you.