This is how to create new customized brush set from old brushes :
Edit > Preset Manager > select brush from dropdown first load all the brushes which you want to use in your set (like all from assorted,all from basic ) You'll see all the brush now select one by one which you want in your brush set,
select brushes (ctrl+click for multi) > save this set >
again go to
preset manager > load set which you have saved just now.
I attached a screen shot to make this process easy and clear to you, please follow the same (view image in new browser for clarity)
This is how to create new brush :
First create any shape/drawing/art or anything of which you want to make brush, than again go to
Edit > Define brush preset > Ok by this you can create as many as brushes you want and if you want to make set of such new brushes do as first answer says...
this is your brush :)
i have attached a screenshot to make this clear...
Tutorial for your reference :
Hope this will help....