When adding localisation support for my Flex applications I often find myself having to create new locales. This process is not very easy and involves some Terminal/Commandline interactions. I'm posting the necessary details here for anyone who needs them, as well as for myself as I constantly have to look this up.
The problem is that the Flex 3 compiler is pickier than the Flex 2 compiler used to be so any specific locales you would like to support need to be present somewhere in the bowles of your Flex SDK directory. In order to produce the missing files and folders one must compile the existing en_US locale for the new locale (say de_DE) one wants to support. On OSX you need to do the following, in Terminal:

Last step: in your Flex project properties under Flex Compiler > Compiler Options add the new locale so it gets compiled:

Here's what it should look like:

Straight forward isn't it? No, not really. It drives me up the wall actually. Now please go and file an enhancement request will you?
By the way, the best (and pretty much only comprehensive) page which explains the localisation features in Flex is on Adobe Labs of all places. Well worth a read.