I'll do an example installation of the cursors I myself occasionally use, Silver 3d by ezteban.
1) Download and unpack
http://gnome-look.org/content/show.php/Silver+XCursors+3D?content=55332) The directory trees in themes differ a bit. You're looking for the directory that contains the dir "cursors". In this theme, it's "Silver-XCursors-3D-0.4/Silver".
3) Create the user's icons directory, if it doesn't exist yet:
mkdir ~/.icons
4) Move the theme dir there
mv Silver-XCursors-3D-0.4/Silver ~/.icons
There should now be a dir ~/.icons/Silver.
5) Add the following to ~/.Xdefaults:
Xcursor.theme: Silver
6) Restart Xorg, and you should be using the new cursor theme.
If you want bigger/smaller cursors, the param "Xcursor.size: 48" can be added to .Xdefaults.
If looking to create a cursor theme extension instead of only installing the theme, the system-wide icons dir is /usr/share/icons.