Thanks! I make them by taking the original Nyan Cat sprite and then editing whatever I want changed in MS Paint, usually taking parts/colours from other sprites. Then I make the same changes to the rest of the frames, run them through the myspacegens.com Gif generator and voila! A Nyan Cat is born.
Hopefully I explained it somewhat understandably, if you have any questions/requests/anything else, please let me know!