Got it guys!
Simply install WinterBoard through Cydia and in "Library/Themes/" u create a folder (doesn't matter what). Mine is called "Custom.theme". Now in "Library/Themes/Custom.theme" you create a new folder called "Icons". And in that folder u can put whatever icon you like, but make sure you name it after the app's name. After that you start WinterBoard and select your "Custom" Theme. You also may reboot your iPhone/iPod.
This method works for me.
Let me know, if you still have problems
Malte