To create a "Call Activity", create one of the existing activity templates ("Task Activity", "Task Activity (Open)", "Subprocess Activity"), select the newly created node, go to the properties view in yEd's lower right corner, and change "Line Type" to the desired thickness.
If you want to create a template for call activities, create a user defined palette section (to do so, go to "Edit" -> "Manage Palette", then click "New Section"), then right-click the call activity in the main editor area to open its context menu and choose "Add to Palette".