Creating a bitmap icon for one of your own components is not explained in the Help documentation.
In fact Help confuses things in the Creating a New Component topic by mentioning how to specify the application icon.
The only post I could find on the internet that describes the process clearly is by Francois Piette at this link, http://francois-piette.blogspot.be/2014/02/howto-create-dcr-file-for-your-delphi.html .