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You can find these instructions in OmniGraffle's online help (under "Stencils"):

You can make your own stencils. Just select New Stencil from the Stencils menu; a document window appears. Add objects to it just like you would in a normal OmniGraffle diagram. A preview of the stencil appears in the stencil window as you work. Once the stencil looks just how you want it, select Save from the File menu; the default location for saving is the Application Support folder inside your Library.
To share your stencil with others, just give them a copy of your saved stencil file.

I can't really think of any other steps, but we'd be happy to answer any further questions you might have. Hope this helps!