For header from theme options you need to use the icon HTML code. It's effortless. This is how to do it.
Edit any of the menu items to change its name. Paste the icon code before the item name. We will be using a home icon in this example.
To change the icon, swap out the "icon-home" with any of the icon names.
You will find the list of all icons under this link.
With an update introducing Header Builder 2.0, we added the option to add icons in menu creation.
Edit any of the menu items, and below the menu item label, you will see a field where you can choose an icon from the list that will appear in a popup. You can also use an image instead of available icons.