Finally, the day has come. I added the Mepis community repository to my distro's sources list, and saw that pidgin 2.5.2 has added support for custom emoticons.
When a friend shows you an emoticon, you can right click on it and add the custom smiley to your list or to save it.
Now I can use my old MSN smileys on pidgin.
Update: Apparently, this doesn't work with animated smileys. You'd need to get them from elsewhere (the web), and add them manually. Let's hope that's fixed soon.