Installing icon files in an app using Xcode 5+ and Image Assets:

Open your Mac app project in Xcode 5 or later.
Make sure the Project Navigator is visible in the left sidebar.

Select "Images.xcassets" in the Project Navigator.

If the project was created using an easier version of Xcode, this may not appear.
To create it, select the project at the top of the Project Navigator.
Use the popup menu to make sure you are editing the target and go to the General tab.
In the "App Icons" section, click the "Use Asset Catalog" button.
The "Images.xcassets" folder will be created and any existing icons will be migrated to the new structure.

In "Images.xcassets", select "AppIcon" which will show you a series of image wells listing the icons needed for the project and its supported devices.
If you do not see any wells, click the "Show Overview" button at the bottom right of the pane.

Select all the files starting with "icon_" and drag them into these image wells.
In the early versions of Xcode 5, I have found that this does not always allocate them all.
Some icon files may be marked as "Unassigned". If so, drag them into the appropriate image wells manually. The file names indicate which icons fit into which section.

Once all the icons have been dragged into place, you can delete this folder and all the files in it.