you actually have a few options. first, you can use a program devoted to icon replacement (idropper, candybar -- both available off iconfactory.com). Alternatively, single click the icon you want to change as well as the one you want to replace it with, click on get info or type apple-i for both, select the icons themselves in the top of the window, and simply cut and paste one for the other. you should know, however, that this doesn't appear to work for all icons in jaguar (like the home directory).
hope that helps.
note: you can also build your icons with iconbuilder. seems like a cool program, though i've never used