I know how to work with object of type Graphics (at least I am able to render images) but I always do that by passing graphics object retrieved from OnPaint method.
Using the e.Graphics object that OnPaint() supplies to you is the correct way of doing it. It will run right after the OnLoad() method. The form isn't visible yet in OnLoad.
Getting a Graphics object from Control.CreateGraphics() is supported. However, whatever you draw with this will be wiped out as soon as the form repaints itself. Which happens when the user moves another window across yours (pre-Aero) or when she minimizes and restores or otherwise resizes the window. Use CreateGraphics only ever when animating at a high rate.