Click "Your devices" and choose an existing device to "piggy-back" the new "phantom" device you want to add. Choose a device you know will be active (powered on) during the new activity you'll create to associate with the phantom device you're adding. I chose my Panasonic TV since I know it needs to be on to watch TV via a Roku. If you're adding an audio-only device you may want to choose your AV receiver or home theater system instead.
Click the "Add a missing command" radio button and name the command. You'll want to use a name that corresponds to one of the remote buttons of the phantom device. To avoid confusion and repetition, and to group the new commands together, I suggest you preface this and all succeeding names with a unique designation, such as "a Roku" (the "a" floats it to the top of an alphabetical list). Hit the Next button.
Choose the devices your new activity will use, making sure to include the "piggy-back" device you taught the new commands for the phantom device (such as the TV). Choose the inputs as instructed, and hit "Finish."
[Optional. Perform this step only if your phantom device needs to be turned on and off along with the activity. For some devices like Roku that stay "on" all the time, this step isn't necessary.] Hit "Activities" on the left menu, select the new activity and hit "Customize this activity." Under "Activity startup commands" choose "Add step," select the piggy-backed device, choose "IR Command" under "Action," and the new command for Power on your phantom device under "Value." Repeat for "Activity shutdown commands."
Sync your changes using the yellow pull-down in the upper right. You're done!