First of all, there is a site with great full of crosshairs, here it is: http://crosshairs.cali-kartell.de/ Now, the question is how to install them, here are the steps:

Step 1: Click on your chosen crosshair and it'll be downloaded as a picture, png.
Step 2: Download TXD Workshop from here: http://www.gtagarage.com/mods/show.php?id=8320
Step 3: Run TXD Workshop and click on "Open TXD".
Step 4: Browse your GTA San Andreas directory and open the folder "Models", thereafter double click on the "Hud.txd".
Step 5: One you've it opened, find the .txd which called "SiteM16", It'll be shown on the top of the list, exactly like here in the screenshot:
Step 6: Once you clicked it and it's accentuated, click on the "Import", find the picture of your chosen crosshair and
double click it. Thereafter click on the Save and you're done.