Wow, awesome! I didn't even think about it that way. So, I would put my JPanel in the Object[] array?
If you think about the options or even the message argument of the JOptionPane.showXxxDialog() methods, no: I think they meant creating a JDialog, and add your custom panel as the dialog's contentPane.
Note that this is one of the rare cases (in my humble but stubborn opinion) where creating a JDialog is preferrable to tweaking the (otherwise preferred way) JOptionPane into something it was not designed for.
Note that you might experiment with the DEFAULT_OPTION option type, which is supposed to not provide the YES/NOOK/CANCEL row, and provide your own panel, or array of panels, but that would be awkward to have to deal manually with the OK and Cancel buttons (which JOptionPane is designed for), at this point it's merely clearer to use a plain JDialog.