Good call! To import these cursors, I did the following:

• Download the cursors
• Drag the resulting .zip file onto Stuffit Expander to decompress it
• Open a .cur file using Graphic Converter.
• Choose "Save As" from the "File" menu and save the image as a TIFF.
• Drag the TIFF into Mighty Mouse.

You'll need to manually set the hotspot after you do this, and I didn't try any that were animated, so I don't know if they'll work. But I got the arrow imported!