You can back them up using
Emoticon and Display Pic Backup Wizard (says its for msnm 6, but it works on msnm 7 aswell), wich will convert them to their original extensions. You could ofcourse rename them yourself too if you know the extension.
To import em into msnm again you just add em like you normally do with emoticons, one by one or with a CE/DP manager (you can find those on www.mess.be).
And no, you can't get rid of the default emotes.