I have never actually tried to to that, I am not even sure its even possible. Swing is so slow that the performance hit of anti-aliasing everything might be unbearable for users with slower computers.
What I usually do is just use a prebuilt look and feel set from
http://www.javootoo.com/ or
http://www.oyoaha.com/lookandfeel/ the second one has pretty good documentation on how to use it.
jeffro