Now you've drawn some graphics, you probably want those in game . Well, the easiest way to do this is to paste the sprites over other sprites from an already existing grf file like the DBSet. Herefore you need GRFCodec. Unfortunately the DBSet is copyrighted, so you can't release your graphics then.

To make your own GRF file you'll need to code a NFO file. NFO files are coded in hexidecimal code and contain all info about the vehicle: The location of the sprites, the speed, reliability, liveries, design year, and lots of other thingies. There's a NFO tutorial at the Wiki pages, but don't expect it to be easy.

Another way to do this, is to post your graphics on the forum and ask some coder to code your vehicles. You can help this coder by searching for some vehicle stats like speed, horse power, capacity, design year, etc. But nowadays there are not enough coders for the amount of sprites available, unfortunately. So it would be really great if some more people would understand the NFO language .

REVISION
A tool named "GRF Maker" has been made available, it eases up GRF making, but has less possibilities.
GRF Maker can be found here.

Information about the NFO language can be found at the TTDPatch Wiki.