Both approaches are valid, tho the resulting flexibility of usage is different.
Vector Graphic approach
You can use any vector design software to create a Enhanced Metafile (EMF). I would use Inkscape, but Adobe Illustrator and Corel Draw are able to create this files too. Remember to transform any Fonts in Outlines.
To use the emf file as a Marker Symbol, you need to choose Picture Marker Symbol Type in the Symbol Properties, and to browse the emf file.
Pros: Very simple processing;
Cons: You can not change the symbol colors in ArcMap, for that you need to create a new emf symbol.
Vector Graphic approach
Using Inkscape and the Online Font Converter you can follow this tutorial made by cleversomeday blog to produce a set of Fonts to use in ArcMap to create simple or composed marker symbols.
After installed In your computer you can use it as character marker symbol type.
If you need to create composed symbols, take special care with the size and alignment of the several fonts, so once in Arcmap they correctly overlap in ArcMap.
Pros: You can reuse the same symbol (font) with different color without changing the original file, making it more suitable to use in composed symbols;
Cons: It's a more complicated and time consuming process. It's difficult to create symbols with many different colors (ou need to create one font character per color)
How to decide what approach to use?
It depends of your needs and available time. If you are in a hurry to create a fast symbol or you know that you wont need any color variations from it, go for the EMF creation (Try to keep all your emf files in one folder, or you can very easily forget where is the original EMF file that you use in a certain project).
If in the other hand, If you have time and want to create a set of custom symbols to use in composed symbols, in many different projects and with infinite color and order combinations, you should go for the font creation.
I found a possible solution described by GISbiz which uses Enhanced Metafiles (EMF) as an intermediary format and recommends Inkscape or svg2emf to do the SVG to EMF conversion.
ArcMap can use Enhanced Metafiles (EMF) as a picture for Creating a Marker Symbol or for Creating Fill Symbols.
As commented by @GrantHumphries:
To bring an .emf into ArcMap do the following: select 'Customize' on
the top menu bar --> 'Style Manager' --> select the profile that you
want to add the icon to --> select 'Marker Symbols' folder --> in the
window for that folder right-click and select 'New' --> 'Marker Symbol
--> from the 'Type' drop down in the window that has opened select 'Picture Marker Symbol' --> navigate to your .emf file
Best Answer
The Style Manager dialog box lets you organize styles and their contents (symbols and map elements).
Use the Marker Symbols to store your custom logos etc.
You can save the style out to a file (.style) and import it to other installs of ArcGIS
If have a licence above Basic (Arcview) ArcGIS for Desktop Standard (ArcEditor) and ArcGIS for Desktop Advanced (ArcInfo)
There is also Cartographic Representations that can override Marker Symbols http://resources.arcgis.com/en/help/main/10.1/index.html#//00s50000004m000000