Once you have Worksets enabled, nobody has to open the Central file, everybody creates their own local file and works in that. Therefore, when somebody on the team wants to create a new Workset, they create it in their local file. Then they synchronize and the Central file is updated with that new Workset. When others synchronize, they will see the new Workset, too.
PS - Not to dissuade you from asking questions--you are asking good questions--but you might find it helpful to read something more comprehensive about Worksets. Here's Autodesk's: http://images.autodesk.com/latin_am_...Revit_8-10.pdf