Almost right there Nickk.
first log into mySQL as Nickk said. But do not do the "use" command yet.
type: create database <databasename> \g
type: use <databasename> \g
type: grant all on <databasename> for <youruser> \g
Then you can add tables, etc.
You may have to have root access in order to do the above, depending upon your account settings with your host.