I've just got a HTC sensation and I've worked out how to change the icons on the home screens, but is there a way to change the icons on the lock screen?
Yes, this is possible without apps. The icons on the lockscreen are the same ones that you chose for the home screen:
Here you see the icons I originally had on both screens:
By changing the apps on my home screen adjacent to all apps, this change is mirrored on the lock screen:
To change the icons adjacent to all apps on your home screen, long-press them until you can move them around then drop the old icons either into the trash can (that appears when you long press) or into a free space on another part of the home screen. You can then replace it with an icon of your choice.
There are various lock screen apps on the market, but so far the best I've seen is WidgetLocker, very customizable and in my opinion worth the small price.