To create an arbitrary wire you can sweep a circle along a curve. The curve can be created in a variety of ways, including "equation based". You could also do it freehand with a polyline..
I had to design once a SMA feeder together with an antenna using MWS.
I simply downloaded a SMA datasheet from a manufacturer
and got information about its size and the properties of the
insulator (er, losses, etc.).
I interfaced the SMA connector with the
antenna using 'wires' of finite diameter provided within MWS.
Polyline is also another equally effective alternative - you then simply
convert it into a wire of finite diameter.
I simulated the structure in MWS and tested it in the lab. The similarity
of the S11 between them, was just so close.
SMA could be created in similar way as a coax connector in the HFSS example from the user guide posted on edaboard more than a year ago, I think it was version 9.2.