Download iExplorer here: http://www.macroplant.com/iexplorer/
Launch iExplorer and connect your iPhone via USB.
Choose your phone from the source list in iExplorer
Navigate to the app that you want to change the icon for and click it. Ex: Agenda.app
In the app resources find the main icon. This can be tricky since these images are crunched for iOS so you can't see the actual image. These usually can be identified by the name. Ex: email@example.com, AppIcon@2x.png, etc...
Now drag your icon into the app resource window twice. Yes twice. The second time iExplorer will ask if you want to overwrite it. You do.
That's it for iExplorer. Now on your iPhone follow these steps:
This seems like a lot of work, but it really isn't. It only takes about 3 minutes to do. Enjoy!