You will notice a command called New Menu in the Categories list of the Customize dialog box.
You can drag this menu to the menu bar. A blank menu will appear. Now, you can choose any category, pick a command, and drag it to the new menu.
You can even use this process to add commands to existing Project menus.
You can also edit menu commands. With the Customize dialog open, click the menu and right-click the command.
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