You should read the Wordpress Codex.
http://codex.wordpress.org/Administration_Menus
Particularly this part:
<?php
/** Step 2 (from text above). */
add_action( 'admin_menu', 'my_plugin_menu' );
/** Step 1. */
function my_plugin_menu() {
add_options_page( 'My Plugin Options', 'My Plugin', 'manage_options', 'my-unique-identifier', 'my_plugin_options' );
}
/** Step 3. */
function my_plugin_options() {
if ( !current_user_can( 'manage_options' ) ) {
wp_die( __( 'You do not have sufficient permissions to access this page.' ) );
}
echo '<div class="wrap">';
echo '<p>Here is where the form would go if I actually had options.</p>';
echo '</div>';
}
?>
Although this is plugins: It's a very similar part. You would place the theme part inside your functions.php and use the appropriate hooks found on the codex to implement the extra pages.
<?php
add_theme_page( $page_title, $menu_title, $capability, $menu_slug, $function );
?>