We actually had this question answered at the TCC12 conference.
You need to copy the images to the install directory of the Tableau desktop (I think it should be under [INSTALL_DIR]\defaults\Shapes ).
Then you can use it in the desktop and when you deploy the worksheet that contains those shapes, it will automatically upload them to the server.
Hi Roy -- do I need to create that directory? I see a directory called "install" under the "Tableau Server" directory -- but I did not see the defaults/Shapes subdirectories there.
You just need to add the shape to the "desktop", use it when you develop your Viz and when you deploy it Tableau will auto deploy the custom shape as well to the server,
They go in the <My Tableau Repository>\Shapes directory I think.