I've never tried creating a new VTF from scratch, so I'm not sure on that one. However I do know that you can extract a VTF from the game you want with GCFscape.
Open the VTF in VTFedit and export it as a .TGA which can be opened in Gimp or whatever program you have that supports .TGAs. change it how ever you want, and save it again as a .TGA. Import the new .TGA with VTFedit to save it as a .VTF and THERE YOU ARE - a new texture. Put it in the materials folder for the game you want.

I hope that answers what you were asking.

They are close to GCF files, in that they are used to compress and store other files. WAD files store textures in TEX format, not VTF like GCFs (HL2). Using Wally, you would need to import a JPG file and it would auto convert it into the TEX format for you.

Now, if you are trying to make anything for HL2 or beyond, you will not be using WAD files. You will just be setting up your mod directory information in Hammer and it will be pulling the textures and models from the directory.

As far as I know, there is no way to have a custom mod utilize GCF files for compression/ease to install. All textures, models and custom content must be in their respective directories uncompressed.