Hey outrivaled :)
It means you have to create a new file with the tiles you want to use. RMXP uses a specific format for the tilesets, so the picture you're gonna use must be 256px large. But as RMXP only allow 32x32 tiles and Pokémon uses 16x16 tiles, we will first work with dimensions divided by 2 and then resize it properly.
Basically, open the different tilesheets in a picture-editing software (graphicsgale, aseprite, photoshop...), then create a new file that is 128px large and let's say 3200px high. Display a 16x16 grid on each of those files.
As 128px corresponds to 8 tiles, you'll notice all my tilesheets are divided in columns that are exactly 8 tiles large. So you just have to select the tiles you want to use, making sure you stick to the grid, then paste them on your blank tileset. To help you, keep the pink background, you'll be able to delete it after in RMXP and it perfectly follows the grid.
Once you pasted everything you needed, crop the tileset, then expand it x2 (so it's 256px large and matches the RMXP format). You can now import it on RMXP, and chose the pink background as transparency color.