I can't seem to figure out how to customize desktop icons. If say, the iceweasel icon is on one of the panels I can change the default icon to one of my own, but just not when the icons are on the desktop.
What version of Xfce?
If you right-click the desktop icon and choose "properties", you will notice a picture of the current icon on the General tab. Click on that image and select the icon you want.
Xfce 4.8. The icon pic in properties isn't clickable, I think that changed in 4.10.
Hmmm. I'm using 4.8 (xfdesktop4 version 4.8.3) and it is clickable for me (Xubuntu 12.04).
The other way is to edit the appropriate desktop file in ~/Desktop and manually change the "icon=" field.