Question is probably misleading. I know, or I knew, how to change icons in KDE, but it's not working since last update.
Is it a new feature or a bug?

I've just discovered the same issue trying to change application icons. I wanted to change the Open Document file icons to the new Libreoffice icons.

Right-clicking a .odt file --> Properties --> Edit File type allows you change the icon as per previous versions of KDE. Interesting I didn't get the System Update notification when I clicked Apply. However, when you come back to the Properties window the old icon is still displayed. I've also noticed that when you look at the same file in Dolphin the file has the old icon next to it but in the Information pane on the right the new icon is displayed.

I tried this by making changes straight into System Settings --> File Association and get the same results. I also tried it for a .pdf file and once again the result was the same.

Rebooting after making the changes made no difference.

Whilst the properties dialog does not update immediately on my trunk system, the change does persist, and is shown correctly once reloaded. The bug fix might be in KDE 4.6.2, otherwise it will be in KDE 4.7.

So it is a bug. A would like to post a bug report, but against what? Dolphin? Plasma? KDE itself?

Whilst it is a bug, it is a fixed bug, so you will need to wait until your distribution ships fixed packages (or self-compile).

OK, then. I'll wait.

ok.................

I've just installed KDE 4.6.2 from Fedora Updates Testing repository. This bug is gone.