There are a bunch available on Cydia. Search for "slider" and they'll show up. If you want one you can edit/customize yourself in Photoshop, get one of the ones that includes a .psd file. Wide Sliders has a .psd.
Take a look under the Sections area in Cydia... then scroll down to Themes (Slider) for some already-made custom sliders... you can make your own as well, but I forget the proper dimensions, and the location of the custom slider files... surely someone else can chime in and elaborate on that for you.
No, you don't have to make your own. Just install one in Cydia and then apply it in Winterboard.
There isn't a "Slider" theme section in cydia like there is a "Battery" theme section, but they are still there, you just have to search for them. If you type "slider" in the search box in Cydia, you'll find a bunch.
Just to name a few;