Copy the icon (Option-C).
Right-click on the HDD and choose "Get Info".
Click on the HDD icon in Get Info.
Paste the icon (Option-P).
This works with OS X and FAT file systems. It does not work with NTFS as the default Apple driver is read-only. If you use a third-party driver that allows you to write to NTFS, then it works there, as well.