Official instructions are here but it did not work for me.
I did not understand
Drag kitty.icns onto the application icon in the kitty info pane part.
I tried dragging the icon, but could not make it work.
I gave up. I can live with the default icon.
But then I came across the following instructions here.
Clear instructions that I can execute from inside kitty 😄
cp /tmp/kitty.icns /Applications/kitty.app/Contents/Resources/kitty.icns rm /var/folders/*/*/*/com.apple.dock.iconcache touch /Applications/kitty.app killall Dock && killall Finder
FWIW, I am using this icon