Dominoe sets are stored in directories under your Double-Six install directory, typically C:\Program Files\DoubleSix\Graphics.
The default set is stored in the Graphics directory and each custom set is stored in a subdirectory under the Graphics directory.
If you have not already done so, after installing Double-Six Dominoes there is an entry in the start menu under the Double-Six menu that will "Install Bonus Dominoe Sets". Running this program is only necessary once and will install several custom dominoe sets for use within the game. You can change dominoe sets within the game at any time by pressing the F2 key and selecting a new set in the settings screen.
Each set consists of 98 GIF files. There are 49 horizontal files and 49 vertical files. The horizontal dominoes are labeled 00.GIF through 66.GIF and the vertical dominoes are labeled v00.GIF through v66.GIF where the first number represents the left or top portion of the dominoe and the second number represents the right or bottom portion of the dominoe.
Any graphics editor capable of creating GIF files can be used to create a custom set, from Photoshop all the way down to Microsoft Paint. I highly recommend the free graphics program Paint.NET. In fact, I will let you see one of the Paint.NET files that I used to create one of the custom sets that ships with Double-Six Dominoes version 2.0.
Here is an example:
And, here are the source files for this set (Paint.NET format):
Dominoe sets can be just about any size you want. However, keep in mind, dominoe graphics are scaled to 57x27 for viewing in the user's hand. So, I recommend using that size if you don't want your graphics scaled. Other sizes can work fine, in fact, the example shown above is larger than that. However, it is best to keep them to the same proportion so that when the graphics are scaled, they don't look stretched or squished in one direction.
I typically create one file for horizontal, then rotate/flip it for the vertical dominoes. If you notice, each file has multiple layers--one for each dot pattern on each side of the dominoe. I do this so it is easy to line up the dots. When it is time to create the 98 different GIF files, I hide the layers that are not needed for the first dominoe, save it as GIF (this flattens the image layers in Paint.NET), press Ctrl-Z (to restore the layers), and move on to the next file.
I create a subdirectory under the Graphics directory to hold all of the files for the set I'm creating. Then, when the set is finished, I just ZIP the entire directory, upload the zip file to a file sharing web site (such as GeoCities.com), and publish a link to it here in this forum.
I would encourage you to be creative. Dominoe sets don't necessarily NEED to have dots on each side. Perhaps you could make a set with hash marks, or Roman numerals... Whatever you do, be sure to show off your set here in this forum. After all, that's what its for!