I didn't find a CursorFX converter so I wrote one.
You can always grab the lastest version through the link.The file is distributed under the license of GPLv3.
To make it well organized, I created the project on GoogleCode. Patches and comments are welcome, but please submit patches to the homepage.
*** Requirement: Python, Python Imaging Library, xcursorgen, tar ***
*** Usage: ***
Then install the tarball in gnome-apperance-properties