We're working on a tool, the Microsoft Locale Builder, for Windows Vista to help users create their own custom locales. This will help those users that need a tool rather than a managed API to create a custom locale.
I'll post a link to the public beta when it becomes availalbe. The beta will require Windows Vista since this is a Vista tool and custom locales work on Vista. The .msi file in the Klingon example was created using this tool.
Click for fullsize screenshot
[Updated 31 July 2007] The locale builder beta 2 is now available at http://www.microsoft.com/downloads/details.aspx?FamilyID=e4588c5e-8f21-45cc-b862-38df8d9bd528&displaylang=en