How to Change Menu Icons.

The icons are added in Appearance - Menus, using "CSS classes" field. Please make sure that this option is enabled in the top right corner of your page under "Screen Options".

You need to enter the css class for the icon, for example, "icon-7". All theme icon classes can be  checked at the following link:  http://alliance.themerex.net/wp-content/themes/alliance/css/fontello/demo.html 

You can add more icons to the list using Fontello font generator. Please enter http://fontello.com/ in your browser and upload custom SVG file, here is the path - alliance/css/fontello/font/fontello.svg . After you add new icons to the list, download the font in the top right corner and upload the extracted folder to wp-content/themes/alliance/css directory to overwrite the existing one: