If you want to make a custom emoji, you would need to create a font that contains the glyph for it. Common font creation apps for OS X are FontForge, FontLab, RoboFont, Type, and Glyphs.
Once it is in a font, you can set a keyboard shortcut for it in system prefs/keyboard/text.
Of course other people's computers will not display your emoji unless they have your font installed, except in cases where you can embed it, such as a pdf or vis a webfont placed on a server.