Hello,
I guess you are about to create new document when new RSSitem appears in the feed, right? Regrettably, such feature is not out-of-the box and frankly, I doubt a bit about the copyright policy in this case (however it certainly may depend on your scenario).
At any rate, this could done via your custom code which would check whether the there is any new item in chosen RSS. If so, you would create a new document using our API:
http://devnet.kentico.com/docs/devguide/content_management_internals.htm. You can do that on a regular basis using your custom scheduled task:
http://devnet.kentico.com/docs/devguide/scheduling_a_custom_code.htm.
You might find helpful our API reference:
http://devnet.kentico.com/downloads/kenticocms_api.zip.
Best regards
Ondrej Vasil