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The procedure is different if you want to change the application icon or system icon. For system icon read this: http://johnrork.com/xicons/. For application icon, just right click (ctrl click) on application, show package contents, resource and then you find icon. The other easy way is: copy you favorite icon (ctrl+c) in memory, then click on item you want to change the icon, get info, then unlock the properties, click on the icon on top, then paste the icon.
 
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