Place them in a directory in your mod, then replace the reference to an icon you wish to replace with the location of the icon. Look to the examples already used for proper directory structure. You do not include the Assets bit so everything deeper then that should be used.
i.e.
C:\Program Files\Civ4\Mods\Assets\Art\Interface\Buttons\yourbutton.dds
would be listed in the XML tag for buttons as:
<Buttontag>Art/Interface/Buttons/yourbutton.dds</Buttontag>
Thats all there is to it.
If it doesn't display properly, try clearing the cache.
