I found an app for Mac OSX called ICOBundle that allows you to easily drop a selection of ico files in different sizes onto the ICOBundle.app, prompts you for a folder destination and file name, and it creates the multi-icon .ico file.
- http://www.google.com/search?client=safari&rls=en&q=Mac+OSX+ICOBundle&ie=UTF-8&oe=UTF-8
- http://www.telegraphics.com.au/sw/info/icobundle.html
Now if it were only possible to mix-in an animated gif version into that one file it'd be a complete icon set, sadly not possible and requires a separate file and code snippet.
