You can either create the DataSources with which to extract objects from an sBDoc or enhance the delivered DataSources. You do this in Customizing for CRM under Integration with Other mySAP Components > Data Transfer into SAP Business Information Warehouse > Settings for Application-Specific DataSources (CRM) > Settings for BW Adapter > Maintain DataSource and Enhance BW Adapter Metadata.
Regarding the CRM hierarchy you want to extract to BW , check it is active in BPH and then run T-code SMOX_HIER to actually extract it. Avoid running this transaction in Production during the day as it took most of our system resources, which is surprising considering the small size of a hierarchy. We had many issues with extraction from CRM 3.1 but SAP say improvements have been made in version 4.