What's wrong with creating a new launcher (for example on your desktop), setting the icon to one you like and then dragging that launcher onto Docky?
Just tried it and it works here.
Edit to try and help, here's the source of my modified launcher:
Exec=bash -c "cd \\"~/.wine/drive_c/Program Files/GOG.com/Darkstar One\\" & wine explorer /desktop=DarkstarOne,1920x1200 DarkStarOne.exe"
Path=/home/oli/.wine/dosdevices/c:/Program Files/GOG.com/Darkstar One/
/home/oli/Desktop/darkstar.jpg is the location of the new icon. But this does work for me with Docky 2.0.7. I even tried launching it and the icon remained the new one.