I personally would like to add some more to the new matcap collection but I am unable to find where they are inside the Blender package ?! Any idea?
They’re compilled with Blender, so very likely into the executable, for now there’s no way to add your own matcaps to the current list, but it’s planned.
Only way to make your own Matcap in viewport is the old method :
- switch to GLSL display
- switch to Textured display
- Add a Material to your object -> Set it to Shadeless
- Add a Texture for that material -> Type : Image -> Load your matcap as that image, then at Mapping, change the default “Generated” into “Normals”
oh ok so I at least was not blind 
it is too and Blender Internal and Cycles work very different here. I would be nice in case you use Cycles as a render engine you could still use well the fake specular highlight tricks etc you are used to from GLSLS with BI.
you not only need to switch render engines but also their material approach.