How do I add support to my theme for custom menus? in WordPress

The easiest way is to use the register_nav_menus function.This should be hooked into 'after_setup_theme' :

function my_cool_menu_function(){ register_nav_menus( array( 'primary' =>
 'Primary Navigation' ));
}
add_action( 'after_setup_theme', 'my_cool_menu_function' );

Then, in your theme, simply call that menu's position:

wp_nav_menu( array( heme_location' =>
 'primary' ) );