This might just be DM's discretion, but are there any actual rules about Warmages crafting/learning their own spells? i.e. is a Warmage capable of crafting his own spell, and if so, would he need to use an Advanced Learning slot to be able to use it himself?
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I would go with DM's discretion on this one. After paging through the books, I can't find a reason why a Warmage could not research and create a spell. As it would be a Warmage creating the spell, it would be a Warmage spell, and so could be added to your list directly, without using Advanced Learning.
The DM is free to do whatever he likes, obviously. While the rules discuss the idea of creating new spells for Sorcerers and Wizards, those are ultimately left to the DM’s discretion, too (i.e. you cannot just walk up to a table and say, “oh yeah, my Sorcerer knows Munchkin’s Killing Burst,” “What’s that?” “A spell I made up; it’s 1st-level and kills everything I want it to kill, no save. The rules totally say I can research my own spells.”).
In the Warmage’s case, Wizards cautions against giving Warmages too many new spells, since they are full-list casters. In reality, though, the Warmage spell list is really quite poor: it only does blasting, and it doesn’t even have all the best blasting spells. As a DM, I would definitely be sympathetic to the idea that they deserve a few more spells.