How Do You Make Custom Themes For Cms?

I was wondering, how do you create custom themes for CMS such as Joomla, WordPress, Magento, etc? I know that I need a graphics program, but what else do I need? Also, how do I integrate it with the CMS?

Joomla: How Do I Add A Custom 404 Page?

A step-by-step way of finding the link in the admin panel or step-by-step of how to do it from scratch will earn you 10 points!

Looking For A Joomla Plugin That Will Allow Me To Make Custom Public Profiles For Members Such As Myspace.?

Any Suggestions?

How Hard Is It To Import A Custom Made Joomla Template Into Joomla?

I am thinking of buying a joomla template from template monster and importing it into joomla.
How hard are they to import? Is it plug and play easy? Or will I need to configure plugins etc.
Thanks.