The syntax for SHP (font definition files) is included in the customization guide.
Online version = http://docs.autodesk.com/ACD/2010/ENU/AutoCAD%202010%20User%20Documentation/index.html?url=WS73099cc142f4875513fb5cd10c4aa30d6b-7f42.htm,topicNumber=d0e400463
Do you know how to make them...I understand creating the shape file in a .shp text document, I compile it to a .shx and I don't know how to make a %% code in the .shp file to make it work in the .shx file.
Yes, but there isn't much I can write here that isn't already in the customization guide. You might start by examining an existing font definition file.
Search google for "shx2shp" for the program to convert an existing SHX to an SHP.