aldog -
Most of the images are "compound" - they include "tiles" which are the actual images for the various "states" of the control (normal, mouseover, pressed, etc.). When you have an image selected in SkinStudio in the upper right Attributes pane, you should see the Help text in the lower left pane. This will tell you how many tiles are required for the image's possible states and in what order they should be placed. Most of the time they tile left to right, but sometimes they tile top to bottom as with the TitleBar.
Another trick you can try for images you haven't created yet is to select the element (say the Close Button) in the upper right pane, then click on the Template tab in the Preview Pane - the default Luna image will be assigned and you can then edit that image in Paint or whichever image editor you choose, then save it with the appropriate name. Using the template images is a good place to start as they have the correct number & orientation of tiles. Some things need to be the exact size if the templates (Trackbar Slider Thumbs for one) in order to display properly, but many of the images can be of a different size if you prefer - each tile of an image must be exactly the same size, however, or WB will have problems with the math. It is generally a good idea to use tiles of even-numbered dimensions wherever possible.
Cheers,
Daiwa