You can assign an icon to a script, but the icon will be shown on the Script menu only. Any process icons of the Script class will show the standard blue/orange "S" icon on the workspace, irrespective of the script's own icon. This will change in a future version.
Anyway, to assign an icon to a script you just have to add the following lines at the script's beginning:
#feature-icon <icon-file-name>
where <icon-file-name> represents the file name of an icon image in the PNG, TIFF, JPEG, BMP, GIF or XPM formats (PNG recommended). The icon should be 24x24 pixels, and can have a transparency (alpha) channel. Normally you should place the icon file in the same directory as the script's .js file(s) —C:/PCL/src/scripts by default—, and in such case you don't have to include a full file path, just the file name.
So far the standard scripts don't have icons; this is a pending task.