You have to change the icon of the program in the dock to change the icon.
For example You want to change the iTunes icon:
First find the icon you want, select "Get Info" on it by either control-clicking or Command-I.
Click on the icon in the top left of the Info Box.
COPY.
Now:
Find iTunes in your Applications folder
Select iTunes and "Get Info" on it.
Select the iTunes icon.
PASTE.
It will Change the icon on the program and I think if you reload the program (quit and reopen) the icon should change in the dock. You might have to re-login to get it to change in the dock.