For each skin you have,make a new folder under the style_images/skin called team_icons - upload your team icons images into the new folder(s) on a per skin basis.. so matching ones for each skin, ensuring they are all named consistently. ie: the Administrator icon is named admin.png for each skin.
Log into your ACP, click on the Members tab then the Member Groups/Manage User Groups.
Edit each group by clicking on the drop down menu on the right and selecting Edit Group, Add the following code into the box labelled "Group Icon Image" public/{style_images_url}/team_icons/imagename.png
Where imagename is the name of each image, ie admin.png, or member.png etc
Complete edit and your done