So, you're creating a new paragraph and...then what? You don't do anything with it. It's just like creating any other object - it doesn't have any connections to anything else until you add them. I'd suggest looking in the jQuery docs for functions that add to the DOM.
Think about it for a minute. If it were to be automatically inserted into the DOM just by creating it, how would jQuery know where in the DOM to put it? You've got to tell it.