I found this tutorial very useful. Yes it is partially an ad for another Unicode Control Suite, but it has a lot of information about how to do it yourself and what issues are involved.
EDIT
I knew I had way more on this stored in my bookmarks.
First of all there is an article from Chilkat (another component vendor) about how to use the Font's charset (assuming it is a unicode font) to set different font types (you have to manually change the .frm since charset isn't exposed in the gui). Then all you have to do is convert from AnsiToUTF8 and back to support different languages (that is what Chilkat's control does).
Second, there are the Vesa Piittinen's free (Creative Commons, source included) VB6 controls for download here. They include Textbox, Label, Menu, List, Dialog, CommandButton, Caption (form's caption)). I haven't played with them much, but basically he is doing all the onPaint and the nice thing is that is all done in VB and you can look at the source.