First thing to think about is the part that is going to point to and be the clickable part.  If you have a circle as a cursor, it won't be quite as easy to hit your target as it would if that cursor had a point of some sort or high left section... unless your left handed, then create one with a high right section.
 
If you have noticed there is a spot in the program that says hot spot.  Thats what that is for.  To create the hot spot for the cursors.  Ever notice when you click something and it doesn't take because your not adjusted right on the spot to click?  The hot spot is the section that is assigned to activate the item you want to click.
 
Here is an example of a nice layout for a cursor.
 
 and wouldn't it be nice if we created some for the left handers?
 
Notice these point in a direction.  It is easy to locate the point and the point would be where we designate the hot spot.
You might consider if your making some to share, to after you save it once, to click Icon and choose Flip Horizontally and save it for the other hand users.  Thats something you don't see very often.  How nice for the lefties to grab some.
 
Now that you have an idea that you will need a pointed direction.  Lets create a cursor.
 
Open your IconArt program and Click to create an icon just as you have been doing.
Create it just like an icon except keeping a point in mind.
When created Click the arrow at hot spot and move the sliders to cross on the spot you want to be the hotspot.
Then to save it as a cursor
Click File Choose Save Frame as a Cursor.
 
My Thanksgiving cursor is attached.
 
How to Use My Cursor after you have saved it to your desktop.
  1. Go to your Control Panel
  2. for Win XP users
  3. Click Start then Control Panel
  4. Double Click Mouse folder to open it.
  5. Click the Pointer tab.
  6. Click the Browse button.
  7. Drop down top menu arrow and Click Desktop
  8. Find the cursor and click it.
  9. Click Open
  10. Click Apply and Click OK