In step 1, we will make an empty crosshair prefab named MyFirstCrosshair to put some crosshair layers on it later.
Decide a folder to put a new crosshair. As an example, we created MyCrosshairs folder under Content.
Then, find the empty crosshair prefab provided by Crosshair Assembler at CrosshairAssembler/CrosshairSamples/EmptyCrosshair and duplicate it by Ctrl+D.
Drag it to the MyCrosshairs folder to move.
Then, rename it to MyFirstCrosshair. (Press F2 to rename)