All the images are stored in the given directory which is part of the theme directory structure described here.
Each entry shows the name of the file and a button showing the appearance of the icon. Clicking on the button will open a file browser dialog that can be used to set the file name.
Note The "Notes" file must be in X PixMap (xpm) format. (This is small icon that appears next to a lexicon entry to signify that it has an attached note. See here.)