Not with paint (thats not even a real app!) ;p
Also, i didn't draw these, i rendered them from a 3d model and then just fine-tuned them, the alpha map is done automatically when rendering it in 3d (its a simple option)
If you wanted to really make your own, you have to
1) learn literally painting/drawing pixel art in photoshop with transparency as base
2) learn a 3D-App of your choice, learn how to create shaders, textures, light setups, gi/ao settings and HDRI Maps and of course, you have to model the "sprite" too ;p
Basically, its not easy to make new.. even half-way decent sprites. I am 3d-artist and i stand in awe at the detail level of the golems, the current pixel artist for arcen games is immensely skilled, i am just fixing things that weren't renewed.
As for colormask.png - Its simply the elements of the sprite that the game colors itself - full transparency is obviously needed since png's do not work with a alpha channel