Currently, there are no samples on MSDN for creating custom security objects.  However, the SSCLI ships with implementations for all of the built in security objects that shipped with the .Net framework 1.0.  This source can be used as a sample to help along with custom security object creation.  The Universita Di Pisa has posted the source code for the SSCLI on their website, so you don't even have to download the package to view it.  Here are some links that may be useful:

Update (11/14/03): Eugene has just posted a sample of creating a custom permission: http://blogs.gotdotnet.com/eugenebo/PermaLink.aspx/069af686-c063-4ce4-9cac-6b8d5234918e