Vectors are handled in the same way that GameMaker handles matrices. They are simply arrays with the number of spots required to represent each value in the vector. As such, you can simply make a vector by generating the appropriately sized array.
When passing vectors into vector specific scripts you will notice that sometimes the argument type specifies a "vector" while other times it will specify a vector with a number, for example "vector3". If no number is specified then it can be assumed you can pass in a vector of any dimension and the script will work just fine. If a number is provided then you should only pass in a vector with the specified number of dimensions.