This feature request has come up on the mailing-lists several times, and was quite recently proposed in this discussion. However, the answer from Simon Steinbeiß, an active xfce and xubuntu developer, was that:
You can use either emblems (right-click > properties > emblems) or the user-dirs (the fixed list of user
directories can be found and modified in ~/.config/user-dirs.dirs). No support for custom
folder-icons at the moment.
There is a discussion at the xfce forum on how thunar custom icons could be accomplished, and a patch has even been submitted for thunar. It is explained that the patch
thumbnaill dir and loads a custom icon if there's a file that matches
the file name on the desktop. So a file on the desktop named foo
will have a custom icon loaded if the image in the .thumbnails dir
However, one of the leading xfce developers, Nick Schermer, has commented that
Non md5hash files in the .thumbnails directory is a bad idea.
The prefix-only check if a bit flawed as well, it can be improved with a dot-check (so foo2.png is not matched).
So the method as described in the patch has not really been validated by the developers, and because it would involve a lot of time compiling thunar and its dependencies (as noted here), and then a lot of risk in installing them to your system, I would advise against trying it. You could experiment of course in a virtualised environment (virtualbox) or on a computer set aside for development, but not on a stable system.
It is usually fine to compile programs and apply patches, as I have discussed in many examples on this site, but on this occasion it is better to wait until a solution is available that has been validated by the developers.
For now the question is 'solved', but I will continue to update it and indeed research the issue to see how it could be accomplished in the manner that it is done in