We've added about 80 religion icons, several tech icons, unit icons, interface changes. Trust me it works.
However, mod DDS files don't get loaded on-top of core ones, so you can't
replace icons like you can UI files, you can only make new ones. So to change an existing icon, you'll need to modify the XML of the appropriate UI or IconAtlas to point to a
new DDS file. As such making new yield icons is impossible since they are part of the fonticons which is currently defined in non-moddable xml, so you can't redirect to a new one. I'm sure a patch will sort this out.
Though you could possibly add a new yield to the city screen etc by editing the XML / Lua to point to a new icon atlas, but you would never be able to reference that new yield in text (tooltips, top bar, etc) as other yields are since it's not part of the fonticons.
Also, what format of DDS are you saving out as? I use DXT5 and it works fine.