As an entity class, I want to add an attributes at run-time, how should I do?
What needs to see the attributes? If it is things like data-binding etc, TypeDescriptor should work:
TypeDescriptor.AddAttributes(type, attribs);
TypeDescriptor.AddAttributes(instance, attribs);
This only affects System.ComponentModel usage (not direct reflection), but that is often enough - for example, you can associate a TypeConverter via the above.
If by "attributes" you mean "properties", then (again, as far as data-binding is concerned) TypeDescriptor also has potential there - but it is non-trivial; you need to either implement ICustomTypeDescriptor on the object, or to write a CustomTypeDescriptor for the type - and in either case, you need to write your own PropertyDescriptor implementation (often talking to a per-instance dictionary etc). This will get used by anything that uses:
// only works if you use TypeDescriptionProvider
PropertyDescriptorCollection typeProps = TypeDescriptor.GetProperties(type);
// works via TypeDescriptionProvider or ICustomTypeDescriptor
PropertyDescriptorCollection objProps = TypeDescriptor.GetProperties(obj);
Again, this covers a wide range of data-binding and similar scenarios. For an example of this, see here - it is far from trivial, however. The example usage (from the link) adds two properties at runtime:
Bag.AddProperty("TestProp", new DefaultValueAttribute(5));
Bag.AddProperty("Name");