What you have to do is create your own button class which extends from jbutton or button.
**) After that you can simply override the paint method(create your own) and draw the actual thing you want the button to look like. Could be round or anything. You'll need to have some skill though. After some time it won't be much of a problem..
Otherwise unless you use some new package (which is not found in the api) you better stick to the **) method