There are several ways for it.
First.
Install icon sets from web pages of project:
http://omweather.garage.maemo.org/icon_sets.html
Second.
Install from Application Manager
Third.
Manually install to directory /usr/share/omweather/icons directory with icon sets. For example you can take various icon sets from liquid project http://liquidweather.net/icons.php

Then don't forgot to change "icon set" in preference of OMWeather.

Vlad