To make a loading screen, all you need to do is edit the current loading screens or make sure that the loading screens you want to make have the same exact names, filetypes and dimensions as the older ones. I recommend just editing over top of the ones that exist at the moment.
I believe the only one of the two different types of loading screens (there is one with the suffix "_f" and one without) that you need to edit are the ones without the suffix "_f" with the larger file size. I'm honestly not sure what the other pair is for.