Add custom order status to WooCommerce 2.2, add to theme functions.php

gistfile1.php

/**
 * Add custom status to order list
 */
add_action( 'init', 'register_custom_post_status', 10 );
function register_custom_post_status() {
	register_post_status( 'wc-backorder', array(
		'label'                     => _x( 'Back Order', 'Order status', 'woocommerce' ),
		'public'                    => true,
		'exclude_from_search'       => false,
		'show_in_admin_all_list'    => true,
		'show_in_admin_status_list' => true,
		'label_count'               => _n_noop( 'Back Order <span class="count">(%s)</span>', 'Back Order <span class="count">(%s)</span>', 'woocommerce' )
	) );

}

/**
 * Add custom status to order page drop down
 */
add_filter( 'wc_order_statuses', 'custom_wc_order_statuses' );
function custom_wc_order_statuses( $order_statuses ) {
	$order_statuses['wc-backorder'] = _x( 'Back Order', 'Order status', 'woocommerce' );
	return $order_statuses;
}

/**
 * Add order status icon CSS
 */
add_action('admin_head', 'backorder_font_icon');

function backorder_font_icon() {
  echo '<style>
			.widefat .column-order_status mark.backorder:after{
				font-family:WooCommerce;
				speak:none;
				font-weight:400;
				font-variant:normal;
				text-transform:none;
				line-height:1;
				-webkit-font-smoothing:antialiased;
				margin:0;
				text-indent:0;
				position:absolute;
				top:0;
				left:0;
				width:100%;
				height:100%;
				text-align:center;
			}

			.widefat .column-order_status mark.backorder:after{
				content:"\e012";
				color:#ff0000;
			}
  </style>';
}

Very useful snippet, thanks.