Custom resources, once created, can be allocated to permission sets just like any other resource. This is only necessary if you are using MyAthens though.
This page is about custom resources rather than custom SAML resources. A basic custom resource is essentially just a managed link that can appear in MyAthens and you can define the name, description and access URL. Why you might want or need to do this is discussed on the custom resources FAQ page.
This kind of resource does not appear in reports because unless the access URL goes through our authentication point we don't see it happen.
Add a new custom resource
From the catalogue, click on the resource title to bring up its details page and click on the trash button next to the save button.