I'm using custom shapes in InDesign, and this is working nicely:

1_ Create and style your shape in a Photoshop document all by itself. I'm using a 600x600, 300ppi template on a transparent background, although you can use white.

2_ Select the Custom Shape Tool and use the Shape Layers option in the options toolbar. (It's the first of the three buttons.) You have to create vector data or there will be none to export. You can assign a style as you draw it, or add one later, or not apply any style at all if you like. In any case, you'll end up with a layer that has a vector mask linked to it, plus your white background layer beneath (if you chose a white background when creating the new document).

3_ Select all, and with the Move Tool selected, click the alignment buttons in the options toolbar to center your shape, or position it wherever you need to in order to work with it in the layout. (Rather important.)

4_ From p. 480 of the Photoshop Manual, paraphrased to reflect what we're doing here:

Create transparency using image clipping paths:

4-1 You already have a work path that defines the area of the image you want to show, which is defined by the custom shape. 

4-2 In the Paths palette, save the work path as a path by naming it. 

4-3 Choose Clipping Path from the Paths palette menu, set the following options, and click OK: 

• For Path, choose the path you want to save. 

• For Flatness, leave the flatness value blank. The name of the path will display in stroked letters once you've created a clipping path.

4-4 If you plan to print the file using process colors, convert the file to CMYK mode. 

5_ Save As... Photoshop EPS. MAKE SURE IT'S EPS! The Include Vector Data option will be checked for you, unless there's no vector data in the document, in which case the option will be greyed out. (Better start over!)

6_ CMD(alt)+D to place the EPS file in InDesign. The clipping path allows backgrounds to show.

[If you're using QuarkXPress, place the EPS file using CMD(alt)+E. I'm not that familiar with QXP, so users of that app have to take it from here.]

Note #1: 

If a layer style includes a stroke using the parameters inner, gradient, AND shape burst, you'll get no color when you place the art into InDesign. Change inner or gradient or shape burst, ANY ONE OF THE THREE, and you'll have no problems with the placed art. Only when all three of those parameters are chosen will you have no color. Weird.

Note #2:

The clipping layer initially cuts out anything beyond the custom shape itself. For instance, when you apply a layer style such as a drop shadow or a wide outer stroke, you'll need to turn the clipping path into a SELECTION and expand the selection boundary to encompass the drop shadow (or wide outer stroke, or whatever... Otherwise your .eps file will not reveal the style.) Then turn the selection back into a path and make IT a clipping path. Save the .eps with this new clipping path and you're good to go. This is easier to do than it is to explain.

Exercise:

To make a shape which REVEALS things in your page layout, as if looking through a window, try this:

1_ Select the Custom Shape Tool and use the Paths option in the options toolbar. (It's the second of the three buttons.) 

2_ Turn the path into a selection, then invert it. 

3_ Now turn the inverted selection into a path.

4_ Name the new path and make it a clipping path.

Follow steps 5 & 6 from above and that's it. Note that there's no need to fill or stroke anything in Photoshop for this exercise, all you need is a clipping path on a transparent background.

[In InDesign, select your placed .eps image and apply INNER GLOW to the object. Change the "screen" blending mode to "normal" and the inner glow will color your shape -- the part of the clipping path that ISN'T the window. Lower the opacity to 10 or 15% if you want to see what's underneath, be it text or whatever.]

Hope I've explained it well enough. Thanks for reading!