There is a project wizard for creating a Kinetis Design Studio (KDS) project, but no wizard specific for MQX project. MQX project is just one of KDS project in ksdk. I think you need to create your application project, and import some library projects, and edit your project settings, let KDS compile MQX rtos. But I did not try it before.
I suggest you start from an existing MQX KDS project, and modify your code based on the project, that will be much easier. You can start from KSDK1.2, (will be released soon), choose the closest supported board, then porting it to K20D72M
Have a nice day,
Daniel