You can do that in the same event as the created object :P Just have the instance variables and make sure to put the "Set variables" events AFTER the "Create" event.
-On mouse click
+Create "Sprite" (0,0)
+Set Sprite "HP" to 155
+Set Sprite "Name" to "Bob"
Edit: AS FOR sub-events, I'm pretty sure it automatically selects the object you created in the main event (though I may be wrong).