Theoretically, it should do this automatically. In practice, sometimes it works, sometimes not. All the pages below have proper favicons, but only the O Globo and Amazon favicons made it to the desktop icon. (The former in a better way, as you can see.) I added them the usual way, with Menu -> Add -> Shortcut -> Bookmark.
This is a (rooted) Milestone running Motorola's official 2.2.1 update. These are the pages involved:
Any reason for that erratic behavior?