When editing a dimension, you can enter in a known value, a formula, a parameter or any combination of the above. However, if you want to create a new parameter, you have to go to the parameters window, add it there, then go back and use it in your sketch.
My suggestion is to instead allow the user to type something like 'CornerRadius=4' instead of just '4', which will create a new user-defined parameter called 'CornerRadius', set it's value to 4, then set that particular dimension equal to 'CornerRadius' We'd have all the benefits of user-defined parameters without the need to visit the Parameters dialog making parameter-driven sketching much faster and more intuitive.
An additional/alternate way to implement this would be when you select the dropdown to pick from existing dimensions, add a textbox where you specify a new parameter name. If you enter one, then it creates it and associates whatever you have typed/selected for the regular value to it, again setting the final dimension to your variable.