Point A to point B then back to point A, creates a wall, which - mind you - is considered a new separate room.
If that wall you want to create is free standing in the middle of a containing room, not touching the outer perimeter, this is your only way of doing it. But if the wall touches the surrounding room, i think it's better to include it in the room polygon, so that the wall becomes part of the whole room.
As for wall placement, when you create that free standing wall, click on it to select it and you will see 2 big circles around each end of the wall. Grab the wall by any of these circles and you can move it around. If you want to avoid grid snapping, move it while holding down SHIFT.