Step 1: Open the menu in the Dashboard and find the Lable field and add the icon tag like this screenshot:
You can find the class name in the Font-awesome https://fontawesome.com/v4.7.0/icons/ and icofont.com
Or the current class is not fit with your design, you can use the image-background to set icon, like this:
Step 2:Then add the CSS code into the Settings > Style Settings to adjust the space/size.. for icons