deadman...you just draw them...just as you 'should' be doing with the body of your skins.
The failing of the skin generating programs is their obviously recognizable buttons.
The problem with photoskins is the lack of definition of the buttons....they tend to be just blobs applied to a photo in the general location of the function hot-spot....usually with poor 3D pressing effect.

These skins are very common at WinAMP.com....and I'm happy for them to stay there.

Observe the clearly defined skins such as Sputnik by treetog.....a typical example of a 'properly' executed WinAMP skin.
All of the graphics relate to the WinAMP skin, not some pretty picture of Britney Spears or such-like.
The buttons are definite, created specifically for the skin, and not just an 'X-marks-the-spot' for a stop button.
It's all about competency......skill and aptitude in creative design.

WinAMP is not an easy app to skin.
It is certainly not an easy app to skin well.
There are no true shortcuts.
The skinner must first learn his craft, then learn the application he is to skin.

WinAMP is one skinned application which will benefit from practise...