Answer by Senhor de todo o Mal

If you just want to change the cursor you can hide the hardware cursor, and draw your own.

If it lags to much you can try to change the hardware cursor.

If you want to add a particle system to the cursor you need to create a particle system and set its position to match the mouse cursor, for example:

var particleSystemTransform:Transform;

var distanceToScreen:float;

particleSystemTransform.position = Camera.main.ScreenToWorldPoint(new Vector3(Input.mousePosition.x,Input.mousePosition.y,distanceToScreen));