Not sure how you would do it by clicking on things, but it is trivial to do with a program.
So if you have a variable names MYVAR in a dataset named HAVE you can use this program to create a new dataset called WANT that adds two now columns names COL1 and COL2.
data want;
set have;
length col1 col2 $10 ;
col1 = scan(myvar,1,'_');
col2 = scan(myvar,2,'_');
run;