Entities can be created simply by calling their constructors. Entity Constructors provide a number of overrides allowing you to customize how Entities are created.
If you have Entities created in Glue then you may not need to instantiate Entities in code. Entities can be created in code if you are dynamically creating Entities (often to put in a list), or if you are creating instances of entities which will be managed purely in custom code.
For additional information on creating Entities in custom code, see this page.