IDC_MYCURSOR      CURSOR     "MYCURSOR.CUR"

#define  IDC_MYCURSOR 103

HCURSOR hCur = LoadCursor(hInstance, IDC_MYCURSOR);

wxCursor( "#1", wxBITMAP_TYPE_CUR_RESOURCE );

#define STR(value) #value
#define RES(value) wxT("#") wxT(STR(value))
...
wxCursor cur(RES(IDC_MYCURSOR), wxBITMAP_TYPE_CUR_RESOURCE);

switch ( kind )
{
    case wxBITMAP_TYPE_CUR_RESOURCE:
        hcursor = ::LoadCursor(wxGetInstance(), filename.t_str());
        break;
...

wxCursor cur(MAKEINTRESOURCE(IDC_MYCURSOR), wxBITMAP_TYPE_CUR_RESOURCE);

#include <wx/cpp.h>

wxCursor cursor(wxSTRINGIZE(IDC_CURSOR));

my_cursor CURSOR "mycursor.cur"

wxCursor(my_cursor)