How to add single item. This is not very effective but follows what you are asking for:
x = p.Series()
N = 4
for i in xrange(N):
x = x.set_value(i, i**2)
produces x:
0 0
1 1
2 4
3 9
Obviously there are better ways to generate this series in only one shot.
For your second question check answer and references of SO question add one row in a pandas.DataFrame.