You can create a new script using the New User Script in Greasemonkey but you have to edit the config.xml file inside the gm_scripts folder.
Your config.xml file should have a similar syntax as this:
<Script filename="jquery_test.user.js" name="jQuery Test" namespace="http://www.example.com/jQueryPlay/" description="Just a test" enabled="true" basedir="jquery_test">
<Include>http://*</Include>
<Require filename="jquery.js"/>
</Script>
Notice the <Require>
tag.
In your script you can use direct jQuery syntax. Make sure you have the require tag in the Greasemonkey header. Here is a Hello World example:
// ==UserScript==
// @name Test jQuery
// @namespace http://www.example.com/jQueryPlay/
// @description Just a test
// @include http://*
// @require http://ajax.googleapis.com/ajax/libs/jquery/1.2.6/jquery.js
// ==/UserScript==
$(document).ready(function() {
alert("Hello world!");
});
Remember that after modifying the config.xml you have to restart your browser for Greasemonkey to reload the settings again.
Also note that you need to copy the jquery.js file to your script directory folder in order for this to work. I tested this, and it only works if you actually copy the file manually there.
Happy jQuerying!