The chapter Customizing the OpenAM End User Pages in the latest OpenAM 10.0.0 documentation has the steps to re-brand the OpenAM Login Page.
The most important statement in the document is "where suffix is the value of the RDN of the configuration suffix, such as opensso if you use the default configuration suffix dc=opensso,dc=java,dc=net" in Step 2.
This is where past document and/or wiki did not do a good job and thus caused confusion. Honestly, I could not make the customization to work until this latest document is released.
By following the instruction, I quickly located my configuration suffix, which is azlabs.sg (take note not to confuse with user data store suffix).
Then I was about to create the required directory, which is /path/to/tomcat/webapps/openam/config/auth/azlabs.sg/html.
Updated on 21th Jun 2012:
The following information is captured in Authentication log if you turn debug log to MESSAGE.