Well, that is a rather broad question... "making your own format" is definitely a lot more complicated and it depends on what kind of features of the original format you want to support, and if you can remove any other features... I would absolutely not recommend going that route, especially since it requires a deep understanding of the internal workings of tracker formats that you would probably have to acquire first. You'd be better off investing that development time into your actual game instead.
It is typical for games to put all their assets into one container file, or a small number of container files. Typically those files have a very simple layout (just a collection of filenames, pointers to the data in the container and file size), or they are in fact just renamed zip files. The latter would be very simple to implement, and you could even password-protect the zip file. But don't expect this to be a serious obstacle to anyone with a disassembler at hand. Since your game needs to know how to extract the zip file, the encryption key must be stored somewhere in your executable, so it's just a matter of finding it, then everyone else can extract it as well.
I know there's a certain "coolness factor" associated with this kind of stuff for young (or inexperienced) developers - I've been there myself! - but in the end I think that the time spent on this stuff would better be invested in the actual game engine.
