This page explains how to create a new XML document following a particular schema.
When you create a new document, select XML from the list.
Optionally, you can then click on "Customize" to insert the schema you'll be using. For TEI, many of the most standard schema are available on the TEI Consortium website.
Right-click to copy the schema URL you need (the DTD or XSD links), and then paste it into the first text bar:
After you enter the information, your TEI document will be set up: