In Finder find the App that you want to change the icon, right click and select "Get Info." Do the same thing with the icon you want to use. On the top left of the Get Info window click on the small image of the icon so that it's highlighted in blue and copy (Command + C). On the Get Info box of the application, highlight the icon on the top left so that it's highlighted in blue and past (Command + V).
This should work for most of the dock icons. For me it would not work on Finder, Trash or iCal.