All you have to do is go to "my NHL" and create your own team. Pick whichever players you want to. Now when you go to "Dynasty Mode", substitute your created team for any other NHL team. Now you have the best team, and all of the members of your team are still on their original teams at the same time. But beware, if you created your own player he will still be a free agent at the start of the dynasty even though he is already on your team.