<p>What I'm trying to do with MRS is to teach myself some basic AI; what I want to do is to make a rocket entity, with things such as vectored exhaust, and staging. Anyone have an idea on how to make an entity that can fly? Or do I just need to constantly apply a force upwards?</p>

Hey TraumaPony, your question looked lonely :)
I took a look at an MSDN article about MRS 2.0
here
I believe you'll actually need to create a Rocket entity of some kind and then a Thruster entity that it can use. In the article they were able to reuse a DifferentialDrive entity to propel their bot forward. I hope that helps. I'm more or less shooting in the dark since no else has tried to help ya out yet. Cheers! :)