Some requirements you'll need before hand:

-an MRS Decompiler (one will not be provided, you can go look on your own xO)
-the updated runnable and fmod.dll (is available on the patch now, so be sure to update)
-a brain (if you don't have one, the recommended place to get some cheap rent brains are YouShouldDieNow-Mart).

Now in this short tutorial, I'm not going to explain how to use the MRS Decompiler, as you can figure that out own you're own. I will only say for you to either decompile or compile.

Things I have done to make creating custom bgms a whole lot easier:
-I've made the game read the songs in mp3 format, instead of ogg (thanks to ragezone, although I could've found it on my own if I had really thought of it, not to be ego). Now you can create custom bgms without the hassle, and time consumption of converting your songs from mp3 to ogg.
-I've also made the game read different file names, so instead of having to look back at a forum to look at what you have to name the songs, you can just rename them from memory.

First, to create the custom BGM, you must have 13 songs (if you use less, there will be times when you hear no music), and sadly, you cannot have more than 13. (for now anyways).

1 of your 13 songs will be a song for the character select screen.
1 of your 13 songs will be a song for the lobby.
1 of your 13 songs will be a song for when a game finishes.
And the last 10 songs will all be ingame songs.

Now, once you've decided which songs you would like to add, go to the folder where you keep your mrs decompiler, and make a new folder called: "bgm".

Once you've done that, go into the bgm folder, and place the 13 songs you wish to have.

(BIG NOTE: Please make sure ALL of you're songs are in mp3 format. If they are not in the mp3 format, then you're going to have some problems).

Now, it's time to rename your songs. I have taken the liberty to make the game to read different song names, as it would probably be easier to remember, compared to HardBgm Vanessa(something).mp3.

So, pick the song you want for your character select screen, and rename it to "CharSelect.mp3"
Then, rename the song you've chosen for your Lobby to: "Lobby.mp3"
Rename the song you wish to have for game finish screen to: "Finish.mp3".

Then, for all the ingame songs, rename them to:
InGame1.mp3
InGame2.mp3
InGame3.mp3
InGame4.mp3
InGame5.mp3
InGame6.mp3
InGame7.mp3
InGame8.mp3
InGame9.mp3
InGame10.mp3

(P lease note, that the ingame songs will not play in the order of 1-10, the order will be random).

Once you've renamed all you're songs, make sure you have them in the bgm folder, and then compile your bgm folder into an mrs file.

Then, take your mrs file, and go to your client folder. In you're client folder, go to the folder called "Sound". Inside the sound folder, you should already see a bgm.mrs file inside there. Take out that bgm.mrs, and replace it with you're new one (if you want, don't delete the old bgm, in case you screw up). Once you've done that, make sure that your fmod and runnable are up to date, and then start the game with your new custom bgm :).

This should make things less time consuming, and much less difficult for people when they want to make their own custom bgms.

Enjoy~