I tried to find some info on the net. You can of course copy and paste from different programs (apparently, people like OmniGraffle a lot!). But you don't get a real "object" for which you can change the fill and stroke colors and width that would behave like the Keynote built-in shapes. Even the 'Symbols and Borders' item in one of the Keynote Image Library files are actually just images: you cannot change the fill and the stroke.
I found something really so simple I still don't understand why nobody mentions it here or elsewhere. When you open a PowerPoint file, any PowerPoint shape will be imported as a real Keynote shape that you can manipulate just like the other buil-in shapes. So, by preparing a PowerPoint slide full of useful shapes, with different settings (like various roudness of rounded reactangle, or various sections of arcs), you can have a library of real custom shapes. Even free drawing shapes or scribbles made in PowerPoint work! The main problem is that you cannot add arrows, even to open shapes like arcs. You can set fill to 'none' and change the color and width of line, but that's it. Only Keynote's built-in line can have arrows.
It also means that Keynote is actually completely ready to handle any shapes, and it is just a matter of adding them to the default ones, and implementing a free shape tool. What are they waiting for?

