In the past I have followed an amendment of these instructions in order to get a custom activity to work in a CRM workflow project.  It works well, but there is actually an easier way to go about it.

Add a Class Library project to your solution.  I called mine Dummy.

• Reference System.WorkFlow.Activities
• Reference to System.Workflow.ComponentModel
• Use  System.Workflow.Activities.SequenceActivity
• Make your class inherit SequenceActivity.

And you're done!