How can I add a custom primitive object In lightwave they have a capsule primitive object which I'm finding to use it more often than I thought. 

I could export an .obj file or extrude half of a sphere then mirror it, but I thought it would be better to have it on your Shift+A shortcut with the rings and segments choices. 
anyways, I thing it's going to need some scripting knowledge to achieve that.
Go to File > User Preferences > Add-ons and search for Add Mesh: Extra Objects and enable it.

Make sure to Save User Settings to keep it that way.





Shift+A > Mesh > Round Cube to add this object from the add-on.





In the Tool Shelf or after pressing F6 select Operator Presets and choose Capsule.
Switch Type to Edges - this will allow to control horizontal edge loops.




Now you can control capsule Radius, Length (by changing Z value), subdivision (Arc and Linear).