I've done this. I just followed pages 419-427 in the SPPS Resource Kit. In
my content  page under web  Part Catalogs, it lists

Microsoft Web part  Gallery
TManage Web Part Gallery

I'm probably going to delete the microsoft web part gallery  from the list
and add  a couple of role-specific galleries  or department-specific
galleries. Even though I'm confident my proxycfg settings are right, half
the time the importing of Microsoft web parts gives that all-too-common
proxycfg error. It works some of the time and not others. Of course, on
the galleries I create, I never get the problem.