Turns out you can also do this with Gimp, as described here:
- Open the largest of the icon images in The GIMP. Right-click on the image
and select File->Open as Layers… and
select all the other icon images.- This will create a single image with a layer containing each of the other
icon images.- Save the image as a Microsoft Windows Icon (.ico) image – File->Export (or File->Save As in older versions of GIMP), and then type in the filename,
e.g. favicon.ico. (this will
automatically select the .ico format)