For this example I'll show you how to create an easy glowing orb brush, you could probably use it as a moon if you want.
It's a very simple process.
1) First create a new empty canvas, I would recommend a transparent canvas, set to 128x128. I would also create a test canvas to try out your brush, perhaps set to 1024x1024 but it really does not matter. So two canvases are recommended.
2) Now in the brush canvas (128x128), I recommend you create a nice dark stroke. You will want it to either be black or a very dark gray.