That's a good question. They seem to be hard coded into the program. If you have something inparticular that you are looking for I would post it in the the WFX newsgroup and maybe the programmers will look into including it in the release.
Just copy one of the directories below Object Desktop\WindowFX, rename it, and edit the bitmap and shadow descriptor files inside - the format is much like that of WindowBlinds. Take a look at the newsgroups for more hints.