Althought the FAQ claims, it is not possible, there is a way to use custom application icons in xfwm and e.g. the panel icon box wich Xfce.

In Debian Etch, I added the file /etc/X11/Xresources/zz_MyXresources with the line

XTerm*iconPixmap:       /usr/local/X11/bitmaps/sh_32x32.xbm

And created sh_32x32.xbm in /usr/local/X11/bitmaps/ to have everythint set up automatically everytime I log in. If you can't or don't want to fiddle arround with files system directories, putting the line into the file ~/.Xresources might do as well.

Credits: I found the key hint here.

X11 Xfce