File for a Custom Keyboard Emoji
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 via a webfont placed on a server.