You would need to look at the CJ-<JobName> log on the Core Server. When running Custom Scripts, basically any positive value is considered success, while negative values are failure. This actually stems from HRESULT value in Windows. Return values from applications are represented by an HRESULT - 32 bit binary number. Normally, when there is an error, the first bit is set to 1, making the result a negative decimal value.
As to the actual task at hand, I would actually recommend you just create a software distribution task. This type of thing (and others) is part of why Custom Scripts are "legacy". You can create a simple batch file to copy files to the destination that you need, then just add those files as additional files. When the package is downloaded, the batch file and necessary files will be in the same folder inside SDMCache. You actually don't even care what the folder is. You batch file can be very simple:
copy file1 C:\Destination1\file1
This is just a simple example, but it can work very effectively.
If you want to be even fancier, you could create a batch file (or other script/application) that could copy everything in the same folder with itself (except itself) to a destination directory that you specified on the command-line in the SWD package, if this is something you do a lot.
I just found this today and am experiencing the same problem, apparently it doesn't work....why these features are available for us to use and have them not work is very frustrating. I could just create a batch file like tanner suggests but im kinda tired of putting workarounds in place for their product, if it doesn't work then they should take it out.