You cannot easily create new Ozone icon sets, but you can create color presets.
Settings > Menu.Menu Driver. Select the driver that matches your theme (e.g., Ozone or XMB). The UI will prompt you to restart.Settings > User Interface > Appearance.Preservationists have uploaded massive collections of legacy RetroArch backgrounds and icons that are no longer available on the official servers. retroarch custom themes download
Guide to RetroArch Custom Themes: Download and Installation RetroArch: How to Find, Download, and Install Custom