Click the Create Mod button on the Toolbar.
Select the Custom Pistol from hte available mod types.
You can multiselect in this dialog to create multiple assets at the same time. Feel free to add any other weapons, bots, etc. by Ctrl + Clicking the assets you want to create in your mod.
Enter a name for the mod in the Name field. In this case, we've chosen GrenadeGun.
You can enter an Author and Description, and this data will show in the Mod menu in the game. If you'd like to change this later, you can do so by accessing your mod through the Editor's Edit -> Plugins menu.
Click the Create Mod button.
Your new mod package will be automatically focused in the Content Browser, but it will be at the root level of the mod.
Double click the Blueprints folder, then the Weapons folder to find the Blueprint asset for your new custom pistol.
You now have a mod with a custom pistol that will replace the default pistol in the game. Now it needs the functionality to cause it to explode when thrown.