jQuery mobile v1.3.0, quick custom icon solution

css:

.ui-icon-mycustom  //ui-icon- is a prefix
{
    background: url(images/download.ico); //your url of the image e.g ico/png
    background-repeat: no-repeat;
    background-size: 18px 18px;
}

html:
data-icon="mycustom" //which is the name in css file without the prefix, ui-icon-