Its a little more difficult now than before 4.0
Before all you had to do was navigate (SSH) to:
/var/mobile/library/Webclips/ <-- here you would find all your homescreen web icons in their appropriate folders.
You would just replace the icon.png with your own.
Now there is a little more work because the icon reverts back to the original webclip icon. This next part is quoted from someone else
"Now to prevent your iphone from overwriting and replacing the info.plist/icon.png file with the default file/icon everytime you visit the home page, you need to use some tool to change the permissions on both the webclip directory and the plist file you've just edited and set it to read only. Right-click in winSCP, choose properties and set the directory permissions to (0555) and plist/icon files to (0444) permissions.
8. You're done. Now reload the SpringBoard. You should have your own custom icon that will take you to the same safari web page everytime!"
I haven't tried it myself yet...