How can I add in new Locales to the locale list?
There are several locales that Yii comes with but Craft doesn't, simply to keep Craft's filesize down a bit (they add a lot of weight). You can see the master list of Yii locales here: https://github.com/yiisoft/yii/tree/master/framework/i18n/data   - If you see a locale in there you want that Craft doesn't come with, just view the raw version of the file on GitHub and then save it to your craft/app/framework/i18n/data/ folder. Then Craft will start supporting it.

If you need a locale that Yii doesn’t offer, find the closest locale Yii/Craft does come with, and copy it with a new name (e.g. en_us.php => en_mx.php).