Editor code snip to replace the CreateEmpty gameobject function with one that will always show up as the child of the currently selected game object.

gistfile1.txt

  [MenuItem("GameObject/Create Empty %#n", priority = -1)]
	static void menu_GameObject_CreateEmpty()
	{
		//Debug.Log("menu_GameObject_CreateEmpty");
		Undo.RegisterSceneUndo("Create Empty");
		GameObject go = new GameObject("GameObject");
		go.transform.parent = Selection.activeTransform;
		go.transform.localPosition = Vector3.zero;
		go.transform.localRotation = Quaternion.identity;
		go.transform.localScale = Vector3.one;
		Selection.activeObject = go;
	}