If you select any CAT bone and right-click, you'll see a quad menu item that is called "add gizmo". That's what i used to create the gizmos.
In the \Autodeskdsmax10 - 64bit\enu\plugcfg\CAT\Gizmos folder (in the documents and settings folder structure for CAT), you have a max file called "gizmos.max" and you can add all the gizmos you want in that scene. So you can create your own shapes there. CAT will look for that file and expose all shapes that are in it.
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