You can make sprites for new units in RTW and BI by using a function that is built into both games by CA. To activate the function you need to add -sprite_script to your command line. For some general discussion on the process see here.
As well as the command line you need a text file called sprite_script.txt in your RTW root level directory (same one the .exe files are in) with all the units that you want sprites for listed see example below:
horse_light romano_british horse_light no_faction west_spearmen goths west_spearmen slave
You just need the units name as listed in descr_model_battle.txt followed by a space and then the faction name that you want sprite for (you must have texture line for that faction in DMB). Use no_faction for merc textures.
There is a tool here which will generate a sprite script for all the units in your descr_model_battle.txt, unfortunately its other functions don't seem to work properly.
The sprite generator needs certain preferences settings to work. You must have anti-aliasing turned off, and you must be using 16bit colour - not 32bit. You can change these settings in the game options before you add -sprite_script to the command line or edit the text in the file preferences/preferences.txt (bi/preferences/preferences.txt if you're using BI)to change the settings. Please note that some graphics cards override the game preferences settings so you may need to make changes in your graphics control panel as well.