Newbie, from chicago
I have an Eris ... but I would assume its done the same way. You will need to purchase the app BetterCut, its $1.99 in the market and worth every penny.
1. Install BetterCut
2. Create a directory on your SD card named Icon
3. Put the icon files you want to use into the newly created directory
4. Use BetterCut to create a shortcut, you will be able to change the name and the icon.