Hey, Can I make my own library for 8051?
That depends on you.
If you couldn't even manage to get as far as this: http://www.keil.com/support/man/docs/lib51/ - then probably not
Easiest way is to collect that one book you have on the 8051 and put it on the end of one side of the shelf.
With a bit of exaggeration, you could describe that as a library.