Greasemonkey 4.0 has changed its interface, and for the life of me I cannot find any way to create a new script.
Update: this was fixed in version 4.1 on 11-Dec-2017 (thankfully someone opened a bug for it)
It really seems like version 4.0 has no way to do this (and is very poorly documented) and so my workaround was just to install a simple/short script that seemed low risk and then just edit that script to make it my own.
I used this script (source code to check for safety) and clicked the green "Install" button near the upper right of the page:
This installed it into Greasemonkey.
After that, you can click on the Greasemonkey toolbar icon, click on the script you just added, and then click "Edit" in the submenu to edit it.