How can I create a new page on Site Settings page, Site collection Administration section?
I already know how to do it on central administration, but how to do it in this section for each site collection administration?
You need to create a custom action with right location. In your case it should be:
And you need to deploy it inside a feature with the right scope - Farm or WebApplication if you want this customization to appear in every site collection. Here's teh list of all avilable locations: http://msdn.microsoft.com/en-us/library/ie/bb802730.aspx