Just run it via the command line:
electrum -w mynewwallet
Then make a shortcut with the above command in it for easy access.
Sure, there are a lot of workarounds, but I think this should be part of the GUI.
Yes we'd all like our choice of features to be part of the GUI. But it is a lot of work to support multiple wallets. Just look at a screenshot of armory and compare it to how electrum looks. The whole user interface will have to be overhauled. And would it be worth the effort? Most people are fine with one wallet. They would not like a cluttered UI that would only benefit a small percentage of users. People like you and me that want multiple wallets can use the command line.
There's already an "open wallet" feature. I don't really want to manage multiple wallets, I just want to easily delete my old wallet and start a new one. I think a lot of beginner users would want to do this because they make a lot of mistakes, such as:
1) Posting their seed online asking what it means.
2) Posting their private key online and saying "please send me bitcoins to this address".
3) Forgetting their password. <-- probably really common
Anyway, I didn't think this would be a controversial suggestion. If there are far reaching consequences of having a "new wallet" or "reset wallet" button in the GUI, then I'm sorry for not having thought about them.