Pixmaps:
($prefix)/share/pixmaps/gvolwheel/audio-volume-low.png
($prefix)/share/pixmaps/gvolwheel/audio-volume-medium.png
($prefix)/share/pixmaps/gvolwheel/audio-volume-high.png
($prefix)/share/pixmaps/gvolwheel/audio-volume-muted.png

Own pixmaps:
~/.config/gvolwheel/audio-volume-low.png
~/.config/gvolwheel/audio-volume-medium.png
~/.config/gvolwheel/audio-volume-high.png
~/.config/gvolwheel/audio-volume-muted.png


You can change it. Just replace pixmaps from any theme. (default icons path: /usr/share/icons/$theme/24x24/status/)

For use gtk theme icons, open "Preferences" and change "Use gnome icons"

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Dmitry Kosenkov <junker@front.ru>