How can I add my own counters and icons (for those counters) up there next to her breath, vigour, how many times he came etc?
The counters are created using ActionScript code. The coding is fairly simple: it needs a statement which prints the current value, and another statement which refreshes the counter at appropriate moments (e.g. after each orgasm, before each position change, or during each frame of animation).
Icons can be drawn within the Flash workspace, or they can be drawn using an external tool (such as Inkscape or Paint.NET) and then imported. If you're lazy or unscrupulous then you can just reuse artwork that you've found on the Internet (vectors are generally preferred).
Static screen elements (such as borders, frames, crosshairs, etc) can be imported using a tool such as
BlendOverlay. One Undertow user planned to use this approach for a fighting-game style lifebar representing arousal, with the colored bar being surrounded by a custom frame and accompanied by a stylized portrait of the girl's face. I'd link you to it, but I'm having trouble finding the thread
(maybe it was a PM?). Anyways, I hope that this vague description gives you an idea of what's possible.
If you want to do something more ambitious and/or interactive (such as
Link Hearts) then it will mean more work in coding and/or animation. It's possible to make very simple HUD projects using
vanilla coding techniques; as the complexity of a project rises it becomes more necessary to use the
SDT Loader. I'd recommend using the Loader even for simple projects (because the code will be much cleaner) but if you insist on making a vanilla-compatible mod then that's your prerogative.
If you can provide a sketch or description of your idea then we can try to point you towards relevant explanations or examples.