Great question, Martinho!

This can be accomplished through a little trick with icon fonts. Since you can change text in a symbol, use an icon font for whatever icons you want to change, then you can change this “text” (since the icon IS text) in the symbols panel on the right.

Here’s an awesome article that explains the technique: https://medium.com/sketch-app-sources/a-case-for-iconfonts-in-sketch-f62de0b269b9