This is a pretty handy article to add new Financial Dimensions, We had to upgrade our Financial Dimensions from existing 3 to 5. This is for Dynamics AX 4.0 but pretty much works similar for Dynamics AX 2009
http://msdn.microsoft.com/en-us/library/aa893225(AX.10).aspx
I have not tried it myself yet but in AX 2009, there is a financial dimension wizard. You can find it with all of the other wizards in the dev tools.
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