You create custom models with a modelling program.
The best are 3dsmax (very expensive, very complex), Milkshape 3D (good price, very easy to learn, simple interface, perfect tool for attachment models, has a very good exporter),
MdlVis (free modelling tool, you can find on xgm.ru), GMAX (free version of 3dsmax, but has awful exporter, buggy)
I use Milkshape 3D for creating models and Magos Model Editor and Vertex Modify for editing models.
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Or do you just want to know how to make a model use a custom skin.
Which program? What kind of custom skin? Do you mean how to use the skins of the Skin section here at Hiveworksho?