I also use Greenfish Icon Editor. Mac uses an icns format, Windows and Linux use ico. They have different required sizes.
icns: 16, 32, 64, 128, 256, 512, 1024
ico: 16, 20, 24, 32, 40, 48, 60, 64, 72, 96, 256, 512, 768
I make an icon as an svg, scale it, save as png (in GIMP), and copy into Greenfish. Tedious, but it makes a professional looking app.
http://greenfishsoftware.org/gfie.phpI run it on a Mac in VBox Windows.