If you play through the Master League you can purchase classic players, as long as they've already been bought in the WE-Shop. You can then make your own kit for them and save them onto your memory card as "My Best Eleven" I think(even though I've not tried this myself). It's class having a team with Rooney and Cruyff up front!
Its possible to create new teams, as i do it all the time:
unlock classic players
transfer players over to a tean
edit the team strip/colours/name, etc
start a master league with the team
And use the save "my best eleven" option
now you have a dream team that you can load and use in friendlies