This first step is to terminate the picker on double clicks, what can be done by overloading the transition() method of your QwtPickerMachine. Have a look at the code in qwt_picker_machine.cpp and you will know what to do.
Then I would connect a slot to the QwtPlotPicker::selected signal, where you simply insert a QwtPlotMarker at the selected position, that looks like the cursor of the picker.

Uwe