Ya SU is a little rusty on curves so the setup is a little different.
SU itself only creates curves with the circle and arc tools, and the add_curve function in Ruby, which is all very limiting.
So the best thing to do is getting the Weld plugin for SU, or any of the various spline plugins that let you make curves with alot more precision and ease.
When you have a curve, right-click it and go to SketchyPhysics -> Make physics curve, this will give you a prompt for a new name, write it and hit OK, and you got your curve set up.
Now a couple of extra tips:
closed curves don't have a predefined start point (so every time you open your model the starting point will be different, sometimes it even switches between simulations)
curve orientation sometimes changes (it may move in one direction once created, and then switch after opening the model again, I'm sure there is a reason for this, but I haven't yet found it)