When one first creates a new project, that dialog lets you point to some external .PNG file, and then when that dialog completes, it generates 4 different pixel-sizes of ima
the answers above were confusing to me. Here is what i did:
the first field "Asset type" must be launcher icons. browse to the file you want as icon, select it and android studio will show you in the same window what it will look like under different resolutions.
choose a different name for it, click next. Now the icon set for all those hdpi, xhdpi, mdpi will be in corresponding mipmap folders
finally, most importantly go to your manifest file and change "android:icon" to the name of your new icon image.