You don't need anything but the regular version of DesktopX (although I really don't know if the trial version is crippled or not - sorry) and your favorite bitmap editor (Photoshop), although I do start with Flash to create my objects's animations sometimes.
An object is all but either a BMP or a PNG. I suggest using 24 bits PNG with alpha blending. This way you can create very easily degrees of transparencyt and somehat of a antialiasing around your objects. So, since you said you master Photoshop, you proabably know how to create transparent PNGs. That's your regularobject. If you want an animation, create a horizontal strip with all the frames of your animation next to each other.
What I do often is create my animation in Flash, export as animated GIF, then convert the GIF'S frames into one flat strip.
The best thing to do is still to extract the graphics from a theme or object and open the graphics in Photoshop, you'll understand howe it's done. To extract the files, just rename the .dxtheme or .dxpack extensions to .zip, then unzip.
Hope this helps. Have fun.