Use 72 x 72 pixels .jpg or .png files to achieve best results.
You can also use animated GIFs.
To change the icon:
1) Highlight the Action or Key you want to change
2) Locate the Default icon on the bottom left corner of the screen (the location is highlighted in red in the screenshot above)
3) Click on the Default icon to select the image.
4) Drag your new image on top of the Default icon. Or, Right Click on the Default icon, and choose "Set from File" to select your preferred graphic.
You can use whatever applications you want to create these images, like Photoshop. Just save them in the right format, and then select them one Key as a time.
Elgato Stream Deck Key Creator
You can also use the Elgato Stream Deck Key Creator web-based app to easily create and modify graphics:
The library holds pre-made assets you can use to create unique icons.
Any images you make using the Elgato Stream Deck Key Creator are not stored online by Elgato - you save your particular creation to your local storage, like your hard drive.