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
On Android Studio 0.5.8 I managed to change my icon set by right clicking on the 'res' folder and selecting New > Image Asset. This brings you to the icon screen you are presented when creating the application, here after you change the icon it confirms that it will replace all the icons. Confirm and done.