1. Where can I find the Analytic Workspace Manager application ?

The Analytic Workspace Manager tool is in Beta and is not available for 
download yet. It will be made available on OTN soon. You will also need 
the 9.2.0.3 RDBMS patch set with an additional patch for OLAP to be 
released soon.  Please check Oracle Metalink for patch set availability.

2. Where is the CWM2_OLAP_AW_CREATE package ?

In Oracle patch set 9.2.0.3, the CWM2_OLAP_AW_CREATE package has been 
deprecated and replaced by DBMS_AWM package. 

3. Should I use SQL*Plus or OLAP Worksheet to use the DBMS_AWM package ?

The DBMS_AWM package is a PL/SQL package and must be used from SQL*Plus.