The easiest way to do this is to create your image in ANY program but Wally, like:

MSPaint
Paint Shop Pro
Photo Shop

Make sure your image is 64x64, 128x128 or 256x256 and in 256-color mode.

Copy it (Ctrl+C).

In Wally, File->New->Half-Life Package if you just want a new wad.

Paste it (right click in the wad and choose Paste As New) into a Half-Life .WAD in Wally.

Save your .WAD.

Add the .WAD to Hammer's texture list.

Make sure when you compile to include the wad into your .BSP so people will get it with your map. Change your HLCSG line like this:

hlcsg -wadinclude yourwadhere.wad yourmaphere