As long as the sprite is saved in 8-bit paletted format, you can create a .act format pallete from it in Fighter Factory. You can apply the palette you made in GIMP to the image, and then save it if you haven't already.
Then, open Fighter Factory, go to sprites and click "new". Click "add" (the first button under Sprites), and load the image you have. You'll get an error about it not having a palette - just click OK. The picture will probably be all black.
Now, on the "Color Pallettes" section on the right, click the button for "Open current image" (third from the last). This loads the palette from your image, now you just click "Save As" and you've got your MUGEN palette.
Of course if you are using this sprite from an existing character, you can just load that character in FF and edit and save as many palettes as you want. That's how I make my custom palettes!
