Find the location of the Gallery on your hard drive. On PEP2 Win7 it's under

C:\Users\All Users\Philips\ProntoEdit Professional 2\Gallery\Buttons\

Underneath that folder, you will find that there are folders with images with _P and _R extensions. If you want the Gallery to make a Button for you, put in both images. Gaming_P.png and Gaming_R.png for example.

Once PEP reloads, you will find in Buttons via the gallery, that there is a single 'Gaming' button.

Note that this will not add 'Actions' to buttons, just the button which you can then drag and drop from the Gallery.