I had noticed in a video, that in the game logic heirarchy, there was an empty with a small plus sign next to it with a monkey head linked to it. I would like to know how to do this, as seeing where my model goes would be handy. I noticed it in the 13th to 15th minutes of this video:
I do not really get what you mean. I assume the objects are simply parented to each other.
Hi, welcome to blenderartists. 
Empties are just like any other game objects. They just don’t have a visible mesh. They can be dynamic, static, they can be the children of other objects or they can be the parents of other objects, they can have logic or basically anything that you expect of any other game object, except they are invisible.
In the video the empty is the parent of the monkey head. The monkey head will just follow the empty around wherever it moves so you can see where the empty is.
The easiest way to set a parent/child relationship is to select the child (or shift+select more than one child) and then shift+select the parent, hit ctrl+p and from the “set parent to” popup menu choose “object”. There are other ways, but I’ll leave this to your experimenting to find them out as you need them.