For everyone's reference,
In Appendix D of Ivan's notes, p. 316, to set up a JMS physical destination, navigate to the left panel, go to Configuration->Java Message Service -> Physical Destination.
I guess it is for Glassfish v 3.0
But for Glassfish v 3.1, you have to to go Server on the left panel. Choose "JMS Destination" pane on the right panel.
See the attachment.