The kanji study list is used for storing any kanji characters you are studying. It's used by the kanji dictionary and is required for kanji drilling mode. This list can be added to and sorted based on newspaper frequency and Jouyou grade level.
If you don't know where to start on studying kanji, I personally recommend using the Kanji menu to add kanji to your list by Jouyou grade level. This is done by selecting Kanji -> Add Kanji to List -> By Jouyou Grade Level, and selecting a range of grades to add from the dialog which appears. Alternatively, you can select By Newspaper Frequency Ranking and choose kanji to add in that way.
Alternatively, you can import a list from a text file, or you can manually edit the list using the Kanji Study List editor.
The "Add Kanji From File" button will let you import a plain text file into J-Ben, from which all the kanji characters will be detected and added to your study list. The text file must be encoded in UTF-8. If you are unsure about this, it is probably safer to just copy and paste the file directly into the editor window and then press Apply.
The Kanji Study List editor lets you manually edit your kanji list. You can type kanji in by hand, or copy and paste them from another application. This editor is accessible via "Edit->Kanji Study List".
When you hit the Commit button, your changes are saved. Only kanji which are in the kanji dictionary will be retained; any other characters are discarded. Duplicates are also automatically removed. So, you could simply copy and paste a vocab list into the kanji list editor, hit commit, and you would end up with a list of all the kanji used in that list.
If you don't like the changes you've made, just hit the Revert button, and the list will return to the way it was.
After adding characters to the list, it is strongly recommended to sort the list. The editor allows 3 methods of sorting: by Jouyou grade level, by newspaper frequency, or by both (using an outer sort by grade level and an inner sort by newspaper frequency). Currently you can only sort in ascending order.
All operations on the kanji list are additive: even importing a list from a file doesn't replace the list, but rather just adds to it. In the case you actually want to replace the current kanji list with another, or just start from scratch, select Clear Kanji List from the Kanji menu.
The vocab study list can be edited via the "Edit->Vocab Study List" menu item. This study list is primarily used as a cross-referencing resource for the kanji dictionary. The list is formatted with each line representing one Japanese word or phrase. Either manually type in the list, or copy and paste it from another program, and press Apply or OK.