Every time you start workflow development there is big question in mind, Should i use Visual Studio or SharePoint Designer 2007 and you might end up visual studio if the workflow requirement is bit more than the "out of box" functionality of SPD.
Would'nt it be nice if i can plug in more functionality to Sharepoint Designer.
When MOSS 2007 came into market the impression was that SPD is not much extensible and is to be used for very simple workflow , but i am glad Microsoft didn't made it that stringent and have provided a way to attach custom activities to the SPD.
I have created custom activities in number of work flow scenario and belive me its great .I won't put my procedures in this blog as there are blogs where you can get the complete process. They helped me a lot of understand the "Custom Activities" development.
Here they are :
By Carlos Segura Sanz
SharePoint Designer Team Blog http://blogs.msdn.com/sharepointdesigner/archive/2007/03/15/adding-activities-to-spd.aspx
Well majority of them speak about same stuff , but cross reference helps to make understanding much clear .