What I've always done is this (there is probably a more elegant solution)
1. Open the folder where you have your new icons.
2. Select the one you want to use, and 'copy' it (apple+C)
3. Right click on the file you want to change the icon for... click 'get info'
4. Click on the icon in the top left of the 'get info' window... you'll see it kind of change color a bit...
5. Then paste the new icon (apple+V)
And voila, your new icon should be in place
