Basically, you do that by modifying some data files for the game, like in, say, Apeiron X. The relevant files are inside the application package: ctrl- (or left-)click the application, and pick "Show package contents". Then go to Contents/Resource/Data/Textures/. You can find there the Spritemap# files that hold the sprites, they are in fact image files in tiff format: if you cannot open them, add a .tif extension for them to be recognised as such (but don't forget to remove it after use or the game won't find the file since you renamed it); alternatively the more tech-saavy could give them the type code TIFF, that would avoid the trouble of renaming back and forth, but doing so is more complicated.
One thing that may surprise you is that the image is (often) all white, but more or less transparent white, so if you view it with an editor that doesn't understand transparency you'll only see white; I advise to view it with Preview, with the background set to be a rather dark grey (though an editor that displays a background made of a pattern instead of a solid color will be better). Notice it's not all or nothing transparency, you have a full alpha channel for partial transparency which allows anti-aliased edges and other such goodness (for instance, check out the eraser smudges in Spritemap6). Since the sprites are supposed to be drawn with a pen on graph paper, the interior is actually transparent and not white, so the interior is transparent as well in the Spritemaps. Now why are the actual drawn parts white? It's to allow this white to be multiplied with the actual color you specify for the sprite in the editor, thus making the sprite be of this color. Also, if you check out the color symbols in Spritemap6, you see that there are black parts, these stay black while the white parts will be whatever color you specify, you can even put grey parts which will be a darker color that the color specified in the editor, allowing you to make a transition between the color specified in the editor and the black.
All this transparency stuff means that there aren't many image editors that are going to be able to edit these files correctly; in fact, they have been created using Photoshop CS for the Mac. Not owning Photoshop, I cannot give you precise instructions on how to turn your drawings into stuff suitable for being put there, though the basic process should go as this: first take your One Pen drawings on white paper and scan them, then you should probably do a little histogram correction to flush everything close to black to 100% black, and everything close to white to 100% white, leaving only a few edge pixels to be in between the two (don't unsharp mask or anything like that as with EV Nova sprites, though: we can keep the antialiased edges here as we have full alpha transparency in-game); also, you will need to resample your scan (probably done at a quite high resolution like 300 dpi) down to 72 dpi or the sprite will be way too big (notice you could concievably use such big sprites, and apply a scaledown factor in the editor: you would have ultra-sharp sprites, but it would be useless since the sprites are going to be shown on the screen and pixellated at 72 dpi at that point, and it would quickly eat up main memory and video memory). Once it's done, invert the image (i.e. turn white into black and black into white), then somehow specify this image to be the alpha channel of a fully white image of the same size (I have no idea on how you do it, honestly). Then copy this image, and paste it instead of the original in the relevant Spritemap file. Your image cannot be larger than the original (even if there is space in the Spritemap) or the parts outside the bounding rectangle wont be taken into account, and will be cut out (another reason for downsampling your drawing). The same way, the collision rectangle will stay the same, as well as the rotation center, so position your sprite right!
Notice it is technically possible to modify these coordinates, but it requires hacking yet another file and I won't enter this matter. Also, if you don't want to modify the existing sprites (so that the main game stays the same) but would like to add new sprites for use in your custom level, they could concievably be added but that would require even more complicated hacking, and anyway the same hacking would need to be applied (or your hacked files would need to be put instead of the normal ones) for people to be able to play your custom level, so you can see that begins to look less and less like a good idea. So try and use the already existing sprites, by good combinations and parent-child links you can already pull off pretty impressive stuff, just check out SampleBossQuest in the sample levels.