Build your icons using that page, and then download the zip package. Unzip it into the right directory and it'll overwrite all the drawable-*/ic_launcher.png correctly.
On Android Studio 0.5.8 I managed to change my icon set by right clicking on the 'res' folder and selecting New > Image Asset. This brings you to the icon screen you are presented when creating the application, here after you change the icon it confirms that it will replace all the icons. Confirm and done.
Use the website mentioned in previous posts to create the icons:http://android-ui-utils.googlecode.com/hg/asset-studio/dist/index.html
Unzip folder and Go into you file explorer on (windows or mac) find AndroidStudioProjects > "app name" > app > src > main (replace the web one here)> res (replace the rest with the one from the unzipped folder the you already downloaded)
*Close android studio so that you can make changes and when android studio is opened again the changes will appear
the answers above were confusing to me. Here is what i did:
File ->new Image Asset
the first field "Asset type" must be launcher icons. browse to the
file you want as icon, select it and android studio will show you in
the same window what it will look like under different resolutions.
choose a different name for it, click next. Now the icon set for
all those hdpi, xhdpi, mdpi will be in corresponding mipmap folders
finally, most importantly go to your manifest file and change
"android:icon" to the name of your new icon image.
Download the icon, go to File Explorer - where your projects are saved, the default path is C:\Users\Your Name\AndroidStudioProjects\Project Name\app\src\main\res\
and copy the folders you downloaded to the res folder.
I used the converted SVG image and converted it into a Vector Asset in Android Studio by, File > New > Vector Asset. This converted the SVG image into an XML file.
I created the ic_launcher image by creating a new Image Asset in Android Studio by, File > New > Image Asset. This created an ic_launcher in a square, round and an Adaptive icon from the XML file.
Note: At the time of writing I faced issues with the SVG image exported from Adobe XD. So I had to use the online converter. Adobe XD does not have xml export feature.