We can’t change the icon on the link itself but we can add the link to a folder and change the folder icon. The first step is to create a folder somewhere and drag the links into it from your browser of choice.
Changing the folder icon
Find the image you want to use as the new icon and grab a squareish section of it using preview. We need to grab this into the clipboard using Copy (⌘ + c). Alternatively you can screen capture it directly using ⇧ + ⌘ + 4 to bring up a selection crosshairs and then before making the selection holding down the Control key to copy directly into the clipboard rather than depositing the selection as a file on the Desktop.
Select the small Icon towards the top of the Info panel and Paste the contents of the clipboard (⌘ + v). The folder icon should now be your selected image.
Adding the link to the Dock
Drag the updated folder onto the right hand side of the Dock (anywhere after the dividing line). If it doesn’t show the new icon make sure you have it selected to display as Folder and not Stack (right click on the folder to find this setting).
When the folder is selected the links inside will be displayed.
I have a folder set up within Applications to group all the cocos2d tools I use regularly and have used the same approach to make the folder a little more recognisable.