We're working on a tool, the Microsoft Locale Builder, for Windows Vista to help users create their own custom locales. This will help those users that need a tool rather than a managed API to create a custom locale.
I'll post a link to the public beta when it becomes availalbe. The beta will require Windows Vista since this is a Vista tool and custom locales work on Vista. The .msi file in the Klingon example was created using this tool.
[Updated 10 Feb 2014] Locale Builder 2.0 designed for Windows 8.1 is available at http://www.microsoft.com/en-us/download/details.aspx?id=41158
Old Beta version is available again at http://download.microsoft.com/download/a/7/e/a7e7f4a2-3618-4cb7-a05d-bc688d02a4b9/LocaleBuilder.msi, please don't use that for Windows 8 or above, the locale format is slightly different.