Adding an application icon to your iPhone Application is simple and straight forward except you need to pay attention to the following few notes before you start working on the your app icon.

• Create a square Icon_Big.png with 512×512 pixels. You need to submit this file to Apple if you want to publish it in Apple App Store.
• You don’t need neither rounding the corner nor adding shining light on the Icon_Big.png. The iPhone OS will make it for you.
• Save the Icon_Big.png to Icon.png with 57×57 pixels. Add it to the Resources folder of your Xcode project. Please note that u have to name is as Icon.png.
• Build and run. That’s all

Hope my first iPhone App could be released soon. =P

Done =)

Reference: Creating Custom Icons and Images