Ive always used Photoshop (PSE 10 and CS6) to create mine and saved them as a brush shape. Then to apply them i add a transparent layer, select the brush i have saved and click once to add it to the transparent layer, then adjust the opacity to suit.
To do this;
>Open a new file (i would opt for a transparent layer)
>Use the text tool, or any other drawing to create your watermark
>Then select the magic wand tool (ensure 'contiguous' is un-ticked)
>Click somewhere on the text so it is selected
>From the 'edit' menu choose 'Define brush from selection'
>Name the brush and select OK
You will now find the watermark brush shape in the Brushes. If you don't have Photoshop you can download the full version as a 30 day trial.