You can overwrite the icons with the following CSS:
.ui-icon
{
background-image: url(icons.png);
}
You can download the icon png file in any color you like. Just change the color part in the following url:
http://download.jqueryui.com/themeroller/images/ui-icons_*COLOR*_256x240.png
For example, if you want Red icons, and Cornflower Blue icons, the URLs you need are:
http://download.jqueryui.com/themeroller/images/ui-icons_ff0000_256x240.png
http://download.jqueryui.com/themeroller/images/ui-icons_6495ED_256x240.png
etc.
(but don’t use the URL as a CDN, be nice and save the files locally)