There are newer tools - but you may want to start off using the Performance Recorder. Here you can record what's called a "song" (which is really close to a MIDI file) and then MODX has a provision to convert a song to a user ARP. When you do this conversion - you tell MODX what flavor (type) of ARP you want. Knowing why you'd use one type over another may take some fiddling - but there are only 3 types. It won't take long.

When recording an ARP - it really doesn't matter which sound you use. After all, an ARP is applied to whatever sound you want. So generally, I don't bother fiddling around with the sound choice too much. That said, some sounds decay fast (like a percussive instrument) and some do not decay at all (like an organ). If it makes the experience "better" when recording an ARP - then by all means search for something other than the recommendation.

Starting small, I would first limit myself to only a single Part. This will automatically handle a few things for you and keep from getting too far into the forest of options. The Performance I would tend to pick to record an ARP would be "CFX Stage". Although you could use any single-Part Performance that works for "hearing" the sequence as you record it.

That's the background - now:

1) Set your tempo. I tend to set the tempo "super slow" for accuracy depending on the smallest sub-division of note I need to play. I may choose "tempo-de-learno" just to make life easier. Whatever tempo you record at will not determine the tempo of the ARP (the ARP will eventually use whatever tempo the Performance uses that the ARP is attached to)
2) Press the record button - it's a shortcut to the recording menus
3) Select the "MIDI" tab if it's not already. You want to record MIDI the old Performance Recorder way.
4) Assuming the recorder is still armed (record is still lit) - there are some options here you may want to fiddle with. Mainly record quantize. This will align your notes to the nearest note value you pick (8th note, 16th note, quarter note, etc). You may or may not want laser precision. If you do - you can set this. You may also want to change the time signature. Do that here or accept the standard 4/4.
5) Press play to start recording. The default behavior is for a 2 bar count-in. You'll see the timer show a negative value until you reach the first downbeat.
6) Start playing the note pattern you want. Say you don't care about notes that are outside of the range as your white and black keys on your keyboard (no octave shifting). You get to pick any 16 keys to play your pattern on. Pretend like you have some pattern you want to record. Each key you want to press as part of the pattern - place a red sticker on the key. One sticker per key used. You only get 16 stickers. Once you run out of stickers - your pattern is using all 16 keys available. You can press any of the 16 keys as many times as you want - but only get 16 different keys.
7) Once you're done, press the stop button. Assuming you're happy - move on. If not, re-record from the start. It's easier to write and also do for most ARP recordings. I would exit out and start completely over which would create a new song if I was re-recording.
8) Touch the song's (MIDI recording's) name. This presents you with a menu. The last item is to convert the song to an ARP. Choose that.
9) From here - you have a few things you can set to refine your ARP. The most important part is the ARP conversion type. There are 3 types. Normal, Org (Original) Note, and Fixed. "Org Note" is usually what I pick. This will create an ARP with the harmonic relationships you played in the original recording and will transpose the arpeggio based on the root note you play when triggering the ARP. "Fixed" will force playing only the pitches you originally recorded no matter where you trigger the ARP. A good example of a "fixed" ARP are drums. Because no matter where you press a key - you want the drum notes to be exact (and not move around or shift). That's not the only reason to use fixed - but an easy to visualize one. Normal will apply the rhythm inside the ARP to the notes you are playing by the ARP trigger notes.
10) You would want to edit the name of the ARP to something you can recognize when searching for ARPs
11) Create the ARP (there's a touchscreen button for it)

Creating an ARP is half of the battle. You now need to use this ARP. There's a lot of flexibility in the use of ARPs - which is a topic in its own right. However, at this point you have a usable user ARP.

Jason,

Thanks so much for your highly detailed instructions. I managed to create an ARP successfully and assign it thanks to you!

For the other newbies out there, here's a little more detail as to what I needed to do to get what I wanted