There are plenty of spriting tutorials in different styles scattered all over the 'net. I'd make one, but I'm pretty awful at spriting myself, so...
What do you mean by "danmaku sprite?" Making custom bullets is quite easy; just make the sprite and stick it on a graphic, then define the rectangle that the bullet occupies within the image on a bullet sheet. I believe a tutorial for that exists on the Danmakufu wiki hosted by MotK. Custom bosses are more difficult, but there are various animation scripts lying around the site, so those should probably help you.
Sorry I can't help you personally, but as aforementioned, I'm barely competent at spriting myself, so the help I can give you is minimal.