Hello Gabriel Arias
Please follow below mentioned steps to define a new material:
1. Select the body and click the Hex icon to access Materials section. Select "Other" material option.
2. From the materials drop-down list, select "User Defined Solid" (or fluid, as applicable).
3. Once selected, the user defined material will get assigned to the selected body. Go to Physics tree and double click the user defined material to access and edit its material properties.
The edited User Defined Material will appear in the material drop down list as a separate material as shown below (notice the spanner icon located beside its name indicating that its material properties have been edited). Currently, there doesn't seem any option to change the name of the material. I will check with the development team and let you know.
On similar lines, you can also edit the properties of any existing material. The edited material will appear as a separate material (but with the same name) in the list.