You can very easily make your own cursors for your own purposes, but do it only if a different cursor will dramatically improve how well the user can work with your program. At the moment, cursors can only be 16 pixels square and be black, white, or transparent. Be sure that the hot spot -- the actual location passed to applications when a mouse button is pressed -- is very obvious. Good hot spots are the tip of the hand cursor, the point of an arrow, or the center of a crosshairs. Use the full dimensions available to increase the cursor's visibility at high screen resolutions.
NOTE: There is not nor will there ever be a busy cursor in BeOS-based operating systems. This is a deliberate design decision. If you have a need for a busy cursor, you need to make your program more responsive. Often you can use multiple threads to eliminate the need for a busy cursor.