VEX CAD

A VEX Robot in Autodesk Inventor

The VEX Robotics system requires much more time and effort to build with than LEGO Mindstorms.  Breaking parts is also much more expensive.  As such, planning what you want to build is important.  CAD software, such as Autodesk Inventor and Google SketchUp can help you plan what you want to build before ever touching your Allen wrench.

Autodesk Inventor
Autodesk Inventor is a professional grade CAD software.  If you are a student or educator, you can download it free (and legally) from the Autodesk Education Community.  The learning curve is steep to start off with, but you can do some pretty amazing things with this software, including center of gravity calculations and realistic renderings.
If you are using Autodesk Inventor, the Super Sonic Sparks (VRC #24) have published an amazing library of parts here, with preconfigured weights and materials.

A VEX Robot in Sketchup

Google SketchUp
SketchUp is a free product from Google.  It has a simple learning curve, but doesn't have as many features as Autodesk Inventor.  I like to use SketchUp for quick designs--just to get the design saved in memory--and then use Autodesk for more detailed work.

Getting Help
CAD can be a hard topic to start learning, but don't worry--help is just a few clicks away.  If Google-ing your problem doesn't provide an answer, post a question on the CAD section of the VEX Forum.