What I do is make them transparent as .png's in Gimp, then use iPAC31x Image Explorer to save the png's to IGO compressed .bmp format.
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EDIT: I'm not sure if that will work for actual "icons" but it does work for any images in the data.zip & branding.zip etc. folders, made a few of the images used in data.zip & skins etc. on my own devices transparent that way & they've stayed transparent when converted to the IGO .bmp format.