Or you can do it with Terminal if you just don't want to use Candybar.
1. Backup the old icon
cd /System/Library/CoreServices/Finder.app/Contents/Resources/
sudo mv Finder.icns Finder.icns.bak
2. Put in the new one.
sudo cp ~/Desktop/NewFinder.icns ./Finder.icns
You'll probably have to logout and login for the dock icon to change, but the icon in the finder will update by itself before too long.