EDITED: Actually I don't think this answer is correct - I
think the icons may be used for the IDE environment.
I am very new to Flex so this may not be correct - but both
the VSlider and HSlider classes have a reference to an icon file
for the slider thumb:
[IconFile("VSlider.png")] and [IconFile("HSlider.png")]
So I would think you could create a custom component that
extends these classes and override this setting to point to a
custom .png that you create. Perhaps someone with more experience
could better show you how to do that. Or perhaps they can tell you
another way if this isn't the best way to go.