WordPress.org

How do I set/change the feed icon?

You can configure the feed icon in the widget's options. Alternatively, use CSS to style your lists with this sample code:

#feeds li {
  background: url(images/feed.png) top left no-repeat;
  padding-left: 18px;
}

Where images/feed.png should be the full path of the image to use, or the relative path from the CSS file in which this is defined.