Does my database need to connect to a server?
A schema and a connection are two different things. So, creating a new connection does not mean to create a new schema/database.

You can create a database (or schema) in your server by using MySQL Workbench. After you opened a connection to your server, you will see the SQL IDE, a page with the treeview containing your current schemas, an SQL editor and various other stuff. In the schema tree use the context menu on any node to create the schema:



After that you can create a user with only the necessary rights for that single schema. Use the Administration -> Users and Privileges section for that:



Then assign the user access rights (e.g. for SELECT + DELETE) for that new schema by first allowing access to that new schema:



and finally set the required privileges:



Note: the backslash in the priv list is an escape sequence, because the string there is used as a pattern and the underscore ('_') is used as a placeholder in MySQL. Hence it must be escape to be used literally.