To change the type of object you make with your brush tool simply select the brush tool and then change the object type from the dropdown on the right side of the screen (see the picture below and the 2nd and 3rd screenshots)
The rest is pretty self explanatory: depending on what you are making you can set the number of sides, thickness, etc. If it's available you can press the preview button to get a idea what your making. below is an example of making a arch:
A round edge/corner One way to make these is to make your wall with square brushes, and then use the cut tool to cut the corners off. Next make a Cylinder (16 faces) and rotate it (press Ctrl m, use the x value to spin it) until it is parallel with the top of your wall. From there its just a matter of stretching and fitting. See the 4th screenshot for an example. Another way is to use the arch tool. the method is about the same as using the cylinder so I wont go over it again. Some people like to make a cylinder and use it as a guide to manually make a corner, this works to but it just takes a little longer lol.