With the standard HP-1 you can add one frequency to test if there's traffic on it but you cannot save it or use this frequency while scanning. If you add the Extreme Upgrade to the unit you can create new favorites lists and edit, add, remove departments, talkgroups, channels etc. from the scanner itself.
Keep in mind that this functionality is supported on the standard edition (without the Extreme Upgrade) through the included HomePatrol Sentinel software. On your Windows PC you can do the same thing as the Extreme Upgraded scanner can do from its front panel - but it's a lot easier/quicker to do it on your computer than from the scanner's small screen anyway.
I find that the Extreme Upgrade, while a nice add-on to the HP-1, is a little used feature for me. As an early adopter I got a discount by pre-ordering but still - it's not something I use a lot. With its huge database derived from RadioReference's user-contributed database, there's little you could gain from entering your own frequencies in my opinion. There will always be some frequencies that RR doesn't know about, but those occasions will likely be few and far between.