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You can change icons by using their category
The icon comes in five categories
In the Category drop-down, select the category
Action: Action icons are for use with quick actions on touch-screen devices
Custom: Custom Object icons represent the entities and objects
Doctype: Doctype icons represent document file formats:
Standard: Custom Object icons represent the entities and objects
Utility: Utility icons are simple symbols in a single color that identify labels and actions across many form factors
Name
You can enter the name of the Icon in the Name attribute (Refer to the SLDS link)
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Using the Fill color you can customize the Icon color
e.g. The Icon is displayed in red if you enter that color
Fill color: Red