Step 1: To change the BuddyPress tab icons, right click on the icon you want to change and select Inspect or Inspect Element.
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Step 2: This will open a window which shows the code relating to this icon where you can copy the ID of the <li>
tag e.g. notifications-personal-li.
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Step 3: Now go to Theme Options > Styling and in the CSS Code box add:
.gp-theme #buddypress #object-nav #notifications-personal-li a:before { content: '\f0a2'; }
Replace \f0a2 with whatever icon code you want to use from here.