Wait...are you talking about swapping things like the Finder toolbar button icons and stuff? Or just changing the icon of an individual file or folder or whatever?
To change the icon of a file/folder, copy the new, desired icon to the clipboard. Then select the file/folder and bring up the Get Info window (hit Command-I). Click on the icon at the top of that Get Info window, then hit Command-V to paste in the new, desired icon.
Sorry, I don't know how to change those icons for Finder toolbar buttons and stuff.