How to create my own list of things

Example for the tocloft package:

\documentclass{report}

\usepackage{tocloft}
\usepackage{hyperref}

\usepackage[english]{babel}
\hypersetup{colorlinks=true}

\newcommand{\listexamplename}{List of mycustomfiction}
\newlistof{mycustomfiction}{mcf}{\listexamplename}

% Reset section numbering between unnumbered chapters
% https://tex.stackexchange.com/questions/71162/reset-section-numbering-between
\newcommand{\mycustomfiction}[1]
{%
    \refstepcounter{mycustomfiction}
    \addcontentsline{mcf}{mycustomfiction}
    {\protect\numberline{\themycustomfiction}#1}\par
}

\begin{document}

    % How to remove double “Contents” heading generated by memoir?
    % https://tex.stackexchange.com/questions/47225/how-to-remove-double-contents-heading-generated-by-memoir
    \tableofcontents
    \newpage
    \listofmycustomfiction

    \chapter{Two mycustomfiction}
    \mycustomfiction{Your first example}
    \label{1st_ex}
    Your first example

    \mycustomfiction{Your second example}
    \label{2nd_ex}
    Your second example

    \chapter{One example}
    \mycustomfiction{Your third example. (See example \ref{1st_ex} and \ref{2nd_ex})}
    Your third example. (See example \ref{1st_ex} and \ref{2nd_ex})

\end{document}

For the memoir package you need to build more things using the memoir's class emulation of tocloft. See the question for memoir's example: Custom list throw LaTeX Error: Command \mycustomfiction already defined?

Use the tocloft package. For a short introduction see for example: http://texblog.org/2008/07/13/define-your-own-list-of/