Questions Adding a new workflow

I'm trying to add a new initial state to SO orders. I have already done this for another customer but this one is a little different in that I need to create a new Initial State for a new order.  Ex: A new order can default to Open or Hold status when entered.

I need to be able to have it default to a third state called "New" Don't ask, the customer insisted.

It is identical to the hold status in that the order will have the status set to New when created and will then be able to be released, just like Hold works. It's essentially the Hold function but renamed to new.

The issue I am trying to get around is that I need to create a new Initialize State and I can't seem to make it work. Does anyone have an example they can point me to?

Thank you.