Until Apple officially lets you, Mister or Ms. Average iPhone User, update your desktop icons with the impugnity of your Wintel brethren, you're gonna have to pwn that GUI. (Yes, another reason you need to jailbreak your handset, like right now!)
Sleepers.net now makes re-theming even easier, with their web-based Theme Builder. Sign up for an account at their Developer Central page, and start uploading images and tweaking the bejeezus out of your app icons in real time. When you're finished, the Builder automatically creates the theme package and inserts into their test repository for review; once it passes muster, it's included in their live repository where it can be downloaded via Cydia
and Installer 4.0.
(This also means you finally have a reason to download one or more of 2008's Ten Best Icon Sets…)