did one myself for cursprfx from my first and only linux cursor set. It works very easy, but you need to know the basics.
Try to get some good png or whatever format source files from somewhere in the size you want and start implementing them in cursorfx. However please do know too that you can only publish themes that you did create entirely yourself here.
You can/could draw nice cursor set based on bitmaps created with free software like gimp, paint.net, pinta, paint, grafx2 or inkscape.If you have a commercial software doing the same job use it, all you need is some basic brushes a pencil plugin a good rgb colour wheel and a color picker. Most complex modern [ i do include win3.x-10 there] graphic applications have that.
I did list only applications that are free and at least mor or less opensource . Its more important what you have in mind and the skills you have than the software you use to do it. Can you say this image has been done in gimp and this in photoshop or c draw... ? Me not ( well a pro could perhaps but not from looking at the picture without image filters and looking at exif data- but this effects are gone once you import them in cursorfx)
b.t.w.: #ff00ff is a transparent color on bmp files maybe you need this tip too.