Changing Shape of empty?

I am wondering if I can change the shape of an empty like you can with a bone? If not can bones do the same thing that empties can?

I am following this tutorial:
http://calvin.sdlfk.org/calvin/CartoonEyes2/index2.htm

and would much rather prefer a custom shape rather than a dot for the eye to follow. Which would be the best way to do what I am looking to do? If changing the bone shape where would be the best tutorial on that.

Any help would be appreciated!
-Jonn

select your empty and go to edit mode, and change the only setting available.

But I think what you want is how the peach characters are rigged, I think they use curves for custom shapes. check out those.