How to customize Finder sidebar icons
I believe this worked in Snow Leopard, and is broken in Lion (perhaps on purpose). You won't be able to set your own icons for just any folder — file a bug if you'd like to see this fixed. But as you noted, they can be changed for the standard icons, using CandyBar
You can also just edit the image files themselves, at /System/Library/CoreServices/CoreTypes.bundle/Contents/Resources. The icons are named Sidebar___.icns.