How are you creating your custom images? If you create a custom image from a VM, the custom image will include the OS disk and all the data disks attached to the virtual machine.
"On the Custom image pane, enter a name and description for your custom image. This information is displayed in the list of bases when you create a VM. The custom image will include the OS disk and all the data disks attached to the virtual machine."
Additionally, you can add a data disk to a virtual machine: