go to Appearance > Menus

Edit menu item –
add the icon class in the field CSS Classes,

for example,

1) select the icon here http://fontawesome.io/icons/

2) copy class of the selected icon: fa fa-bullhorn

3) paste in the field CSS Classes

icons menu wordpress

If there is no CSS Classes field when editing menu item, click on the tab Screen Options at the top of the admin panel, and ckeck box CSS Classes