As stated by the clogin(1) man page:

     The standard user icons may be replaced with color or black & white
     images.  clogin will check for the files $HOME/.icons/login.icon,
     /usr/local/lib/faces/$USER and /usr/lib/faces/$USER for login images,
     where $HOME represents the user's home directory and $USER represents the
     user's login name.  The files must be in SGI image library format, and
     should be 100 by 100 pixels in size or smaller (although larger images
     will be scaled down automatically).  The images must be either RGB color
     or black & white images; colormap images cannot be displayed correctly.

The simpler way to generate a 100×100 pixels image file in SGI image library format, is to use imgworks(1) or the more recent imgview(1). These tools are very straightforward.

The simpler solution is to save the file as:

$HOME/.icons/login.icon

But you can also put them in :

/usr/local/lib/faces/$USER

or

/usr/lib/faces/$USER

Note that $USER is actually the name of the file, not a directory!