Open a new MXD, Under View, Data Frame Properties put in 3702, now add data, the X,Y's, in the X,Y event dialog, the example you showed is (40.04746, -75.233316) is really Y, X, Lat is Y, Longitude is X, where it says set coordinate system, tell it what it is, (4326 -- wgs 84) not state plane. Once the data comes in you can export it out as a shapefile, with the option of using the dataframe (Stateplane S) or the layers (WGS84). pick dataframe and your shapefile will be in the right projection.
The key is defining the data for what it is not what you want it to be. If it starts off in the wrong place it will end up in the wrong place.