Using a component footprint drawing as a guide in Altium Designer's component editor
Option 1: Before drawing anything on the copper layers, draw the mechanical outline of the part onto a mechanical layer. This will help double check that pads align reasonably with pins, etc.

Option 2: Get a 3D STEP model of the package, and import it into the library. Use the 3D view to verify the alignment of the pads to the mechanical part.

Unfortunately neither of these really let you do what you seem to want, which is be able to see the vendor's drawings overlayed with your footprint as you build the footprint. But they are both pretty useful for verifying your footprint will fit the physical part before you've actually spent money on fabs.