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
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.