Icons are seperate files that provide a picture and sometimes additional informations. So if you want to use them, you copy or drag'n'drop them to the place you want.
If you have a program called MyTool then there is probably a file MyTool.info at the very same place. That MyTool.info file is the icon. Note that you cannot see the .info extension on the Workbench as it is hidden. If you have another nice looking icon you can normally just drop it into the same place as the old one. But:
The old one might have extra settings stored in the tooltypes which you can access from the information menu. You need to keep those or remember them, as the new icon might have different ones or none at all. There are special tools to swap only the image of icons.
Also important is, that you can use an icon with a different name and just rename it to your needs, but you must not mixup the different types, e.g. don't use a tools icon for a drawer.
All that is a little bit harder to do with Workbench, you might be better off using a file manager, like Directory Opus or DosControl.
Also, you must never put icons to programs that had none in the first place, as they are not intend to run from workbench. But it's fine for drawers.