Here is a brief rundown of how to make an icon.
Make icon in Photoshop, or wherever.
Save as PNG (512x512)
Use Icon Composer to make the PNG into a ICNS file.
Using ICNS2RSRC (Google it, it's free software) Make the ICNS into a RSRC file.
Now, you can Get INfo on the RSRC file and use that icon as you would any normal icon.