At the moment you should create the HTML page manually. But there are a lot of request to use a certain site page as error page (including template), so I'm thinking on how to do this within error 404 using an internal redirect to final page.
Meanwhile you get the result using meta "refresh" so that the custom error page redirect user to final page you want:
<!DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd">
<html xmlns="http://www.w3.org/1999/xhtml" xml:lang="it-it" lang="it-it" dir="ltr">
<head>
<meta http-equiv="refresh" content="0;url=http://mysite.com/finalpage.html">
</head>
<body>
</body>
</html>
Hope this helps,
Luigi