Step 1.
Before you set out to create a new holiday music iTunes library separate from your main library, you first need to figure out how you're going to populate your new library. If you'll be importing your music from CD, that's fine. If what you want to do is move music that's already in your main library into its own separate library, find it all in iTunes (gather it into a playlist, perhaps) and drag it from the iTunes window into a new folder on your desktop.