In a few places I've worked, it seems like some people's jobs pretty much entails selecting and adding icons to development projects. Nice work if you can get away with it and that's what I spent some time doing the other day.
It's actually ridiculously easy to add an icon to a custom activity. In fact it's just the same as adding an icon for any component. Add the image to your project, set its 'Build Action' property to 'Embedded Resource', then add the following attribute to your activity class.
The icon will then appear in the toolbox and will be shown when the activity is rendered in the workflow designer. It's possible to completely change the rendering of the activity and I may investigate that at a later date, but this simple addition seems to provide the biggest bang for buck.