A watermark is nothing more than an image that you make.
So make any image you want, use any images or text, whatever it's your watermark, then save it as a PNG (especially if you want transparency on it). You say you know how to apply it but just to make sure there are two common ways.
1) Open the image and copy it onto its own layer on top of the current image and set the transparency and blend mode of the watermark layer to whatever you want it to be.
2) Use the Watermark command and follow its settings for applying the watermark.
Very simple. There is really nothing special to watermarks other than the fact that it's something you have made yourself.