These are created as symbol line types. To do this you draw the dashed parts including the letters (like the vector fonts of old) using the line tool. Then copy/paste them into the line type set up dialog. This is different from the line tool settings dialog and is found under Options > Attributes > Linetypes (or something like that - it should be at the top of the options menu).
One lesson learned. Make sure the the geometrical center of all lines that will construct your new linetype is in the center of your line. Otherwise your line will be slightly off center. Unfortunatelly some of the standard line types with letters are off center. It is clearly evident when you look at he corners and the lines just don't join properly.