Here's how I did it for the little Droid dude icons (I wrote this for an Android newbie on another forum - so some of it probably sounds very basic)...a guy over at the Phandroid forums initially helped me with how to do this (to give credit where credit is due)
Also - I'm not positive this will work for a folder or not - but it's worth a try.
Downlaod the free version of "Folder Organizer" on your X.
Connect your X to your PC - mount it to your PC as USB Mass storage (to do this: after you plug the USB cable into the droid and pc - pull down the notifcations - click the USB icon - and hit the "USB mass storage" button and click OK) - now your PC will see your memory card in your X as another hard drive in windows explorer. Just make a folder on the SD called "droids" and put all your lil droid icons in there - you need to "unzip" or "extract" that download to your desktop first probably.
1 open folder organizer
2 touch "shortcuts" tab and press your menu button the X and select "new shortcut"
3 select Folder Organizer Item and pick what sort of shortcut item it is (a contact and app etc etc from the list and choose what contact or app it is)
4 click the dropdown arrow next to your new item and choose the little arrow saying icon
5 choose your icon from "android image gallery" (might have to browse to the "droids" folder - I have "astro" installed which is kinda like windows explorer for the droid which helps when browsing your SD card)
6 then you do what you do on droid to create a shortcut on the home screen (probably long press - new shortcut)
7 choose Folder Organizer Item
8 choose Shortcut and the one you just created should be in your list....