Yes, you choose your own icon for MyFaves.
Click the trackball on the MyFaves icon you want to edit, then when you get to their screen, hit menu and choose "edit contact". Scroll to "icon" and click on it and you can choose your photo which you will "crop and save" within the circle to fit in the MyFaves space.
Or, you can go to your pictures folder and select a picture, then hit menu and select "set as MyFaves icon". Then it will show you list of MyFaves and you can select the one you want to assign and do the "crop and save" thing.
Hope this helps!