How To Change The Mouse Cursor Theme In Ubuntu With Compiz Enabled [Ubuntu 10.04 Lucid Lynx Or Newer]

There is a bug in the Compiz package in Ubuntu 10.04 Lucid Lynx and as I read, in Maverick Meerkat too that doesn't allow you to fully change the mouse cursor theme. You only get the new cursor theme in some windows - just like some of you reported in the Elegant Gnome Theme Pack post we wrote yesterday. Until Lucid, this was easy to fix by setting the mouse cursor theme from the Compiz settings, but that option has been removed.
But you can still change the mouse cursor theme in Ubuntu, even if you have Compiz enabled: