If I have a sproc, could the IDE create an entity based on this sproc? I assume that the answer is no, and that I have to do it manually?
By the IDE I guess you mean the LLBLGen Pro Designer.
If so, unfortunatly the answer would be no, the designer reads the schema from the database, then you may map tables as entities, select and deselect fields in each entity, and define typed lists if possible.
So you are correct, you have to do it manually.