Ubuntu 11.10 Oneiric Ocelot does not have appearance properties so, we can't change GTK theme's option and icon theme easily. Fortunately, there is such an application called dconf-tools that can be used to change some gnome appearance properties including gnome icon theme.
Install dconf-tools by typing the following command:
Once installed, run dconf-tools and then go to org-->gnome-->desktop-->interface-->enter the name of your desired icon theme at "icon-theme.
- sudo apt-get install dconf-tools
If you don't know the exact name of your icon theme, just go to /usr/share/icons