
Take your screenshots
Use your printscreen key and alt tab out then paste into your image editor. Or just use fraps or Oblivion’s built in screen capture command. Use the tm command to turn off your menus.
Rename your files

I used a somewhat convoluted method to do this, but if you already have a batch renamer just use it instead.
Open a command prompt.
CD to the images directory.
Type in dir /b >> list.txt and hit enter.
Do the same in your Oblivion\Data\Textures\menus\loading directory.
Open both lists in an editor.
Open Excel or Google Spreadsheet.
Copy the new filenames in the first column and the original ones in the second.

Now we want to turn this into a batch file to run “ren column1 column2″. If you already have a better way to do this, by all means do it.
Export as text and open that file in a decent editor like Notepad++.
Replace \t (tabs) with a space.
Make a macro that inserts “ren ” at the start of each line and run it for each line in the file.

Save in your folder with the new screens as ren.bat and run it in your command prompt.
Resize your images
Now to resize your images so they look correct in game. I used Photoshop for this, but you can use any editor with batch processing functions.
First thing you want to do is resize the screen caps to make them a little wider. My originals were 1680×1050, but their AR is screwed up.
Make a new action that loads the image, resizes it to approx. 144px wider without preserving Aspect Ratio.
Run this action on your new loading screen folder.
Now you want to make each on into a 2048×1024 texture. You could also use make an action here, but I want to show a more complete process.
To do this I created a new blank image:

And imported each png in my folder as a new layer stack:

Result:

Since you have each layer in one easy file, you can do whatever manipulations you want fairly easily.
Now you can hide all the layers except the one you want and save it as a new PNG.
Compressing to DDS
I used ATI’s Compressonator for this… stupid easy, x64 support, and super fast. If you have an Nvidia card, use their tool instead.
Open Compressonator and start a new Batch Compress process. Navigate to your new screens folder and select all the png files.

For Output Format select ATI 3Dc Compression and for Mipmaps select D3DXFilter. Under Mipmaps Options, select 512×512 as the lowest level and hit ok.
Now just check Use Input Directory and hit Compress All. It took about a minute to do 45 2048×1024 textures on my box.
Now just copy all of the new .dds files into your Oblivion\Data\Textures\menus\loading directory and fire up the game. Your new loading screens will show up as soon as you continue your last save.