The following example creates a custom request object with Assign Message:

<AssignMessage name="AssignMessage-3">
  <AssignTo createNew="true" type="request">MyCustomRequest</AssignTo>
  <Copy>
    <Headers>
     <Header name="user-agent"/>
    </Headers>
  </Copy>
  <Set>
    <QueryParams>
      <QueryParam name="address">{request.queryparam.addy}</QueryParam>
    </QueryParams>
    <Verb>GET</Verb>
  </Set>
  <IgnoreUnresolvedVariables>false</IgnoreUnresolvedVariables>
</AssignMessage>

This example: