No, to be more precise, you have to create a file user.gmic in your folder %HOMEPATH% (which is actually C:\Users\david\ for me, on Win7).
This is a simple text file (ASCII), that contains your custom commands, e.g.
# File 'user.gmic': Define some custom commands for G'MIC.
#
my_command : check "$1>0"
blur $1 mirror x sharpen 500
(Beware: the file extension must be .gmic, not .gmic.txt or anything else, sometimes file extensions are not displayed in the Windows file explorer).
Now, everytimes you use gmic.exe, it will recognize your custom command:
So you can use your command in any G’MIC pipeline you want.