Our solar system is not making new planets anymore. All of our planets were formed very early in the lifetime of our star, when there was still a lot of heat and energy in the disk of material that surrounded the young Sun. It was this heat and energy that allowed the small grains of dust to stick together and form larger and larger objects, until the rocky and gaseous planets we know today had largely formed. The solar system gradually cooled down. As it did, fewer and fewer small pieces of material were able to stick together, until eventually, everything stopped - stuck the size and shape it had been at the moment it could no longer continue growing. It’s been several billions of years since the formation of the solar system, and most of the material around our Sun has stabilized; it’s either part of a planet already, or it’s something along the lines of an asteroid or comet, whose shapes are quite literally frozen into place.
We may yet discover more dwarf planets in our solar system - the dwarf planets are small, and require a lot of hunting. But as far as rocky or gas giant planets, our solar system is finished.
We are, of course, also searching for planets outside our solar system. Kepler, the planet-hunting satellite, has found 135 confirmed planets, and more than 3500 planet candidates, at last count. Kepler hunts in a very small area of the sky, so there are certainly many many more planets to be discovered outside of our solar system.
But in terms of entirely new planets being created - this is also happening! Planets tend to form around new stars, and our galaxy is forming a few new stars every year. (Usually our Milky Way is quoted as making an average of about 3 new stars every year, which is not too bad for a galaxy of its size.) So every year, we have three new stars around which we can form a few planets. Some estimates state that, on average, each star has at least one planet - so our galaxy is, on average, forming a few new planets every year!
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