If you are not satisfied with existing icon themes available in your default desktop, you can add more beautiful icon themes from Gnome-Look.org
Follow the steps,
Download icon sets from gnome-look.org
Unzip the content and put in .icons folder in your home.
.icons folder is a hidden folder. To see the folder, open file manager View > Show Hidden FIles
Right Click Desktop and open 'Change Desktop Background' option.
Select Theme > Customise > Icons
Select it and close the window.