But you can also modify existing heroes. For example, take a not-so-useful one from a campaign and change them as much as you like.
Select a hero on the right side of the editor, in the column, and in its properties, click shared (...). There you will find the hero's settings.
Regarding icons, it's a complex issue, but the size and format are specified there (it seems to be Dds). You need to place them directly in the map/mod and then, in the hero editor (when editing), find the path to them.