Be aware that a brush in Photoshop is a grayscale image where white is transparent and black is opaque. It's not much good for dungeon objects because they'll lose all color and be semi-transparent.

Photoshop handles custom shapes the same way: they're solid black so you can make them whatever color you want; there's no way to store color information inside them.

You could try the Clone Stamp tool. Put all of your objects in a single Photoshop document with a transparent background. Open that document alongside your working document (this works best if you have two monitors, so you can keep your clone source doc on a different screen). You can clone stamp from one document into the other—just alt-click the object you want and stamp it down in your working document. The colors and transparency will be preserved, and all of the objects will go to the same layer (make sure you've got a layer strictly for these objects!) If you need to move something around, you can just lasso it.

It's not quite as versatile as a vector tool, but it works.

jtougas, what happened to your avatar?