How do I keep MS Paint from messing up my colors?
As of beelzebufo, if you're still using MS Paint to draw your sprites for some reason, you can simply save them as 24-bit bitmaps. As long as you haven't actually used more than 16 colors, CUSTOM should be able to import them without issue.
As has been said elsewhere, MS Paint, the paint program included with Windows, is not the best image editing program out there. Meaning it pretty much sucks. But some people are stubborn, and would rather figure out how to do their OHR graphics in the program they already use than figure out a new one, and in many cases that means Paint.
Paint's main shortcoming is its palette handling... specifically, it has none. Any and all images you save as 16-color bitmaps are remapped to exactly the same color palette, which consists of black, white, and two high-contrast shades each of gray, red, yellow, green, cyan, blue, and magenta.
In most situations, these aren't going to be the colors you want to use. But if you use any other colors and then save a 16-color image, who knows what the heck Paint will do to your image? If any of the colors you used get mapped to the same thing, you'll lose detail, and on a 20x20 sprite, detail isn't really something you can spare.
What you want to do, then, is use colors that you know ahead of time Paint will map into separate palette colors. Where can you find colors like that? Why, they're right there in front of you! I just pointed them out in the image above!
"But those colors are ugly!" Well, fear not. You still get to draw your sprites using whatever colors you want. As you go, keep track of how many colors you've used, and draw yourself a little 4x4 (or whatever shape works for you) palette to work from. Now, before you save in 16 colors, use the eraser right-click to replace each color you actually used on the sprite with a different one of the Paint 16 colors. Be sure you do this the same way for every sprite that's intended to use the same palette. (Also definitely keep a backup of the sprite.)
When you import the sprite into CUSTOM, for the first sprite to use a given palette, you'll have to go through and manually reassign all the colors to what you really wanted them to be. After that, other sprites you save this way will map into the existing palette correctly as long as you always pick the same background color.
All this only applies for versions of Paint from the last ten years, i.e. included with Windows 95 and up. If you're using anything older, it only lets you draw in 16 colors anyway, so there's no real point in worrying about them.
As a side note, the version of Paint included with Windows Vista seems specifically designed to annoy OHR users. First, for some reason, the default colors it provides you do not actually include the 16 colors pictured above, but it still uses those same colors as its 16-color palette. Fortunately, you have a picture right here on the webpage that shows you what the right colors are, so just copy it into your file and use the "eyedropper" tool. (It's also fairly easy to just memorize the RGB color values, since they're mostly just different combinations of 0, 128, and 255. The exception is the light gray, which assigns 192 to all of them.) Second, and more annoyingly, is that Paint's "Copy To" command now saves in the same color depth as the file you were working in, no matter what you choose in the dialog box. So if you're drawing your graphics in one big 24-bit bitmap, then converting them to 16 colors and putting them in separate files with Copy To, you'll have to manually open up all those files and re-save them.
Alternatively[edit]
There's another method, which is slightly more complicated, but works anyhow. Paint will preserve a palette in an image that already has one (i.e. an existing 16 colour image).
So, if you want to put a little bit of effort, you can use a real drawing program to assign a palette to a blank picture, and save that. Then, use it as a template in Paint.
Or, heck, make the appropriate palette in the OHR, and then use the OHR Graphics Exporter to export a sprite with the palette.
Either way, you can then draw with the colours and not worry. Of course, if you draw with any others, Paint will try and map them to yours, so be careful!