One of the Pros of using a iTDS is that it allows for the distribution of configurations which include entities as well as the icons associated with them. You can read more about it on the paired configuration page. Alternatively if you are not using a server or wish to simply share your entities with another Maltego client you can following the exporting guide below.
First setup your Maltego client with the various entities you would like to export. Once you have completed this you can export your custom entities by following the entity export guide found in our Maltego user guide. This will export your custom entities to a .mtz file that can be shared with other Maltego users.