Does this still work?
I did just about everything: created my CP icons, turned them into VTFs, named them accordingly, extracted the VMTs from "tf2_misc_dir.vpk" & changed the "$baseTexture"s for each one. I put the VMTs into "materials/sprites/obj_icons" & the VTFs into "materials/vgui/replay/thumbnails" in my custom HUD folder. Finally, I copy & pasted XenThePybro's code into "mainmenuoverride.res".
After that was done, I loaded into a 5CP map & the control point icons appeared as purple & black missing textures.
Did this method get broken? Or am I missing something or doing something wrong?
EDIT: Nevermind. Apparently I didn't name my VTFs correctly & so didn't match with the name stated in the VMTs. It works now!