More seriously, if you want to do some drawing the typical approach is to create your own component class by subclassing JComponent or JPanel, overriding paintComponent and doing your drawing there. Add this component to your GUI like any other component:
If you haven't already, take a look at Sun's graphics tutorial:
http://java.sun.com/docs/books/tutorial/2d/index.html [ January 09, 2006: Message edited by: Jeff Albrechtsen ]