You can either create them through use of websites (not going to list any, cooperating with the global rules) or software, eg. Photoshop. It's quite simple, right click on an interesting gif you see, click "copy image URL". It's the same way how you add those pictures in your sig now: UserCP>Edit Signature>
You must be registered for see images
>Insert link>Save.
You're only allowed two image tags in a signature, so you would have to remove one of your current ones.