Holy icons are created by a festival presided over by a member of the priesthood - see HELP FESTIVALS.
These festivals are a collection of rituals performed by a congregation, devoted to a particular deity. Icon creation is one such festival and an icon is made for the glorification of a particular divinity. As a corollary, the icon is imbued with power - derived from the realm of the deity - and this power can, in part, be used by anyone who chooses to wear it.
Syntax: WEAR <icon>.
To wear the icon and make it part of your visible 'clothing' use WEAR. This will immediately let you benefit from the powers it has been imbued with.
While you wear an icon (or icons) depicting a particular deity (or deities) you will find yourself gaining a boost in skills - somewhat like having favour from the depicted deity. This means a small boost in all skills but a particularly significant boost in the skills most simpatico with the deity's realm.
It is possible to wear an icon to counteract a disfavour too, and indeed wearing an icon AND having favour from the deity increases the skill boost even further.