There is actually a simpler way to do it than that. First, you need to copy the picture you want as the icon. Then right-click on the compiled game and click Get Info. On the screen that appears, click on the icon for the application in the upper left hand corner, and it'll be outlined in blue or whatever color you have it set for. Then just paste the picture you want for the icon.
If you have any further questions, just ask.
