Here's my try at writing a how-to-hex-toys tutorial... You should know beforehand, that toys can be quite temperamental, so if your new creation refuses to work it doesn't have to mean you did something wrong. Easiest is to do everything step-by-step and check to make sure the toy works after each one... at least then you can tell exactly where it goes wrong.

Different toys work very differently. Some are simply animated picture frames (like the balls or tennis shoe) called sprites while others are "real 3D" (like the bottle or tug toy) and some are even different layers of transparent and non-transparent frames (like the basket or photo frames). This tutorial will focus on the ones that are just frames, as they are much easier to work with for a beginner. For the others, experiment and see what you can come up with! I find that trial and error is a good way to learn, as long as you don't give up!

Disclaimer
This is going to be easier for you if you have some sort of previous hexing experience (breedfile hexing, for instance) but I will try to explain as well as I can.
This tutorial is written for Petz 4. I can't tell you if you need to do anything extra in Petz 5 what with the toy patches and whatnot for that program, sorry.
Remember to make backups of all original files!

Getting started
You will need the following:

Step 1 - New file
OK, let's get started! First I always make the new toy non-overwriting. This is because toy files tend to be grumpy and unlike breedfiles, only some offsets work, and you can't tell which ones with. I usually start by opening the file I want to hex from. Today I am going to hex from the tennis shoe, because it is a good base for a generic object. Open LNZ Pro, and in there open the Chewy Sneaker. Remember, you find toy files under the Petz folder, and from there under Resource\Toyz.
When you've opened the file, choose Save As to save it as a new toy. Pick a name. I will name mine Dunder Statue. Click next, then pick an Breed ID - the number combination, also called offset sometimes. Really it's hard to tell what will work, but don't write a brand new number, try changing it to something somewhat similar to the orignal. For instance the original offset my my Chewy Sneaker is 10105 (as a normal number, not the four letter number). My Dunder statue number will instead have 10205.
After doing this, I like to open the petz program and check if it worked. If it did, you should see two copies of the toy you've used. If you don't, try to re-save with a different offset until it works...

Step 2 - Avoid sprite clashing
Might as well get this done and over with!
Each toy has its own unique "sprite name". If two toys have the same one, they will clash. This results in when you have the two toys out, both will use the same graphics, even if they are correctly set up with different pics otherwise. We will fix most of the sprite names in LNZ Pro, but the last few need to be fixed in Hex Workshop.
Begin by opening your new file in LNZ Pro. Open the "folders" to the left, and you will see the sprite names in most every section. In the Chewy Sneaker, they are named Chew_K1. See:

I circled the "K1"s but you can actually rename the "Chew" instead of the number, if you fancy. Doesn't matter what you name it, as long as it's different from other toys! Be creative, hehe! I will name mine DCEW_K1, ie replacing the first letter with a D. Change all instances to whatever you picked.

When you have done that, open Hex Workshop.
Scroll down a bit until you find a section that starts with something like this:

Ie the original toy name (varies depending on what you hexed it from, of course... don't change that btw, it should still say the original file). If you look closely, you'll see that it still says "Sprite_Chew_K1" despite me changing it in LNZ pro... DUM DUM DUM! Yep, you guessed it right. Change it here too, and scroll down until that particular section ends and change it everywhere else you see, normally it is two places you need to change in Hex Workshop, fairly close to each other too, but it could be different between different toys, not sure. Now we're done with the most boring parts, anyway!

Step 3 - Graphics
Ok, now it's time to open Tinker! The program is pretty straightforward. Open your new file and pick the top option (ie not the away one). Make sure the file isn't open in Hex Workshop or it won't work, btw...
If we use the Chewy sneaker as an example, when you open it it will look something like this:

Pick any frame of your choice like I've done above and choose Export. Then you can open it in an art program of your choice. I don't think MS Paint will work too well, since it doesn't support transparency well. I usually use Paintshop Pro or Photoshop but there are probably other art programs too... GIMP may work, it's free anyway, in case you don't have any art programs.

Note, I'm not going to tell you how to work your art program... It would make this tutorial way long XD I will use Paintshop pro this time and give the basics...

First off, you don't need to export the pic. I'm just doing it here because it's the quickest way to get the right format picture and to get you used to the Tinker design. You can draw from scratch too.
Open the exported picture or make a new one in the program of your choice, and basically remove the shoe and draw/add whatever you want instead. You can resize the picture, it doesn't need to be the same dimensions. It does however need to fulfill the following:

A simple way to make sure you are using correct petz colours is to keep a colour chart by yourself. A quick way to get one is to open LNZ Pro, and use the internal chart. You find it by opening a breed file, then in the section right above where you change info there says "insert". Click on that and then colour chart, and make a screenshot (press Printscreen, normally located to the right of your F12 button) and paste in your art program, and you can pick colours from it!

This is what my toy graphic looks like:

It is simply a resized photo because I was being very lazy and didn't feel like making a "real" toy :P The colours are not going to be that smooth in the game, because Petz only supports its own palette of 256 colours, but it looked decent enough when tested so I went with it... the result below can give you an idea on how much a photo can be changed when inserted into Petz.

When you've done with this portion, go back to Tinker. Mark the pic and choose Import, then replace the picture with yours. You will get a sort of preview of how the game will handle the colours. Does it look OK? If not, go back and fix it in your art program. If it does, replace all graphics in all the sections in Tinker with yours. If you want to animate you can make different frames but I will not do that here, statues don't move anyway :P

Looking at Tinker you will find a couple of settings called X-shift and Y-shift under eath picture. They affect how the toy moves when held, dropped etc. Normally you don't need to touch those at all but sometimes you can play around them to find something that works. Try playing with them and see how it affects the toy in the game!

When you have replaced all the graphics, save. Then re-open the file in Tinker, but now pick the "Away" option instead of the other one that you already changede. Now you are going to add the on-shelf graphics. I normally just take the original graphic and resize it and make it smaller, maybe 30-40 pixels high. A tip! If resizing in f.ex. Paintshop pro, in the Resize Image window, change the Resample Option from Smart Resize to Pixel resize. It will avoid the image from  being anti-aliased (though otherwise pretty ugly, it usually works good for the shelf images).

Open Petz, and if you've done everything riiiight... you should have your own brand new toy in the toy closet somewhere, weee!

"Gasp! It's so lifelike!"

Congratulations, you've made your first toy! Hope the tutorial wasn't too confusing...

Troubleshooting
A few common problems I've encountered sometimes:

Q: File isn't showing up in the game!
A: Try another breed ID, not all work for toys, it's trial and error until you find one that does. When you've found a "string" that works, use it as much as you can, f.ex if the first file uses XXXX1 you can try XXXX2 for the next one, XXX3 for the one after that etc, to make your life easier.

Q: File works, but I can't see any thumbnail in the closet, it's empty!
A: You've forgotten to change the sprite name in Hex Workshop, go and fix it there.

Q: The colours are all wonky!
A: Petz only supports its own colour palette which only has 256 colours. Try to fix the image up so it only uses Petz-OK colours. Go by a chart if neccessary.

Q: When I bring out the toy next to the one it was hexed from, both look identical, but they look OK when out on their own!
A: You've not changed all sprite names. Check in LNZ Pro and make sure they are different everywhere.