Ok there are 3 icons here:
- iPhone's app icon
- iTune's app icon
- OS X .app icon
Forget about the OS X app icon being the default one that doesn't matter at all. If you want a custom icon to appear when you drag the .app into iTunes then you need to learn about the .ipa format. Basically it is a folder called Payload with your .app in it and the folder is zipped and renamed to .ipa. However it can also contain some artwork which iTunes uses for the apps icon. Try renaminig an ipa file for an app you download from the store to .zip and extract and take a look at it. They are in ~/Music/iTunes/Mobile Applications.
Also in case I misunderstood and you are having a problem getting iTunes to show any icon at all, like it doesnt appear to be importing the app (this happens on Windows) then do the zipped payload thing and that definately works on Windows - I tried it.