EF's default database generation workflow creates a full script that will recreate your database every time you select Generate Database from Model... so if you execute it in your DB you will lose all your data. However, if you just create a new Entity and did not change the existing ones, then you can still generate database from your Model but then take that script and only run the part that creates the new table for your new entity.
Another way would be to install Entity Designer Database Generation Power Pack from Microsoft which didn't make it to be in EF4.0 release. After you install it, change your database generation workflow to Generate Migration TSQL when you generate Database from your Model:
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