By default, there is already a DEFAULT_BUILD_QUEUE that cannot be deleted configured in Continuum. To add more build queues..
Click the Build Queue link under the Administration section.
You will see all the build queues.
Here you can add/delete the build queue. Take note that you would only be allowed to create N number of build queues, where N = the Number of Allowed Builds in Parallel set in the Configuration page.
Input the name for the build queue and save.
From the build queue page, you can delete a build queue by clicking the delete icon