There's a fairly decent set of instructions in the DVDA 2.0 New Features document released by Sony (that link is to a PDF file). The process didn't change a whole lot between 2.0 and 3.0.

The document has a section on making individual buttons as well as an entire menu mask (in which you'd just use one big image and set up areas on that image to be used as buttons) -- be sure you're reading the right one for your situation. I really like doing the full menu masking, but it does take a little more planning.

Rob