To create a custom loading for the slider, you just need to add its markup as a direct child element of the slider element with ms-loading-container class name. Below you can find an example:
<div id="masterslider" class="master-slider">
<div class="ms-loading-container">
<img src="../path/to/loading.gif" alt="">
<!-- or any other form of loading -->
</div>
<div class="ms-slide">
<!-- slide content here -->
</div>
<div class="ms-slide">
<!-- slide content here -->
</div>
<div class="ms-slide">
<!-- slide content here -->
</div>
</div>